Автор: Kulik Rafal, Soulier Philippe Название: Heavy-Tailed Time Series ISBN: 1071607359 ISBN-13(EAN): 9781071607350 Издательство: Springer Цена: 74530.00 T Наличие на складе: Поставка под заказ. Описание: This book aims to present a comprehensive, self-contained, and concise overview of extreme value theory for time series, incorporating the latest research trends alongside classical methodology.
Автор: Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchen Название: Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk ISBN: 1118118391 ISBN-13(EAN): 9781118118399 Издательство: Wiley Рейтинг: Цена: 150950.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Co-edited by acknowledged experts in the quantification of operational risk, Handbook of Operational Risk conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter.
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Автор: V. Pisarenko; M. Rodkin Название: Heavy-Tailed Distributions in Disaster Analysis ISBN: 9400732856 ISBN-13(EAN): 9789400732858 Издательство: Springer Рейтинг: Цена: 93160.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book presents new approaches to seismic risk estimation and forecasting the damage caused by all types of earthquakes. It examines trends in the costs inferred by damage as related to changing social and economic situations for different regions.
Автор: Marat Ibragimov; Rustam Ibragimov; Johan Walden Название: Heavy-Tailed Distributions and Robustness in Economics and Finance ISBN: 3319168762 ISBN-13(EAN): 9783319168760 Издательство: Springer Рейтинг: Цена: 65210.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book focuses on general frameworks for modeling heavy-tailed distributions in economics, finance, econometrics, statistics, risk management and insurance. These results motivate the development and applications of robust inference approaches under heavy tails, heterogeneity and dependence in observations.
Автор: Sergey Foss; Dmitry Korshunov; Stan Zachary Название: An Introduction to Heavy-Tailed and Subexponential Distributions ISBN: 1461471001 ISBN-13(EAN): 9781461471004 Издательство: Springer Рейтинг: Цена: 46570.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Heavy-tailed probability distributions are an important component in the modeling of many stochastic systems.
Автор: Nolan John P. Название: Univariate Stable Distributions: Models for Heavy Tailed Data ISBN: 3030529142 ISBN-13(EAN): 9783030529147 Издательство: Springer Рейтинг: Цена: 60550.00 T Наличие на складе: Поставка под заказ. Описание: This textbook highlights the many practical uses of stable distributions, exploring the theory, numerical algorithms, and statistical methods used to work with stable laws.
Автор: A.A. Borovkov Название: Asymptotic Analysis of Random Walks: Light-Tailed Distributions ISBN: 1107074681 ISBN-13(EAN): 9781107074682 Издательство: Cambridge Academ Рейтинг: Цена: 132000.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This is a complete and systematic modern treatise on large deviation theory for random walks with light-tailed jump distributions, presented by one of its key creators. Such distributions have numerous applications in statistics, ruin theory, and queuing theory. This is a companion to the author`s earlier monograph on heavy-tailed distributions.
Автор: Arindam Chaudhuri; Soumya K. Ghosh Название: Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory ISBN: 3319260375 ISBN-13(EAN): 9783319260372 Издательство: Springer Рейтинг: Цена: 111790.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: This book offers a comprehensive guide to the modelling of operational risk using possibility theory. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR.
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