Advances and Applications in Statistics
Volume 25, Issue 1, Pages 1 - 14
(November 2011)
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FINANCIAL EXTREMES: A SHORT REVIEW
Jaya Bishwal
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Abstract: The paper reviews extreme value theory in finance. It discusses extreme value theory in interest rate models, stochastic volatility models and long memory models. |
Keywords and phrases: diffusion process, extreme value distributions, interest rate models, stochastic volatility models, long memory models, Levy process, max stable law. |
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Number of Downloads: 367 | Number of Views: 1262 |
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