PROBABILISTIC AND STATISTICAL METHODS FOR FINANCE (I): Extreme Value Theory

Instructor: Dominique Guégan
1st  Semester
Number of credits: 3 ECTS
Hours: 6 lectures of 3 hours each

General Presentation
Existence of extreme events is now well known in finance. The objective of this course is to:
- Analyse the existence of these extreme events, their creation and their influence inside a time series evolution and their link with the probability theory
- Present in detail the extreme value theory
- Discuss estimation and test theory for extreme value distributions
- Analyse several applications

EXAM: The exam is a project based on an article which will be given during the second lecture. It is an oral presentation based on a manuscript. The objective of the project is to use and discuss the tools introduced inside the lectures through the discussion of an academic research article. The discussion will use simulations or analysis of a real data set. All the classroom participates to this oral presentation.  

Some references:
- Kotz, S., Nadarajah, S. (2000). Extreme Value Distributions: Theory and Applications.
Imperial College Press, London.
- P. Embrechtz, C. Kluppelberg, T. Mikosch (1997) Modelling Extreme Events for Insurance and Finance, Springer Verlag, Berlin.
- Reiss, R. & Thomas, M. (1997), Statistical Analysis of Extreme Values, Birkh¨auser, Basel.
- Resnick, S.I. (1987). Extreme Values, Regular Variation and Point Processes. Springer, New York.