Extreme Value Theory
Lecturer
Jun.-Prof. Dr. Zakhar Kabluchko
Exercises
Time and place
Lectures
Wed 12-14 Helmholtzstr. 18, Room E60
Exercises
Thur 16-17 Helmholtzstr. 22, Room E18
Type
2 hours lecture + 1 hour exercises
Problem sets
Prerequisites
Introduction to Probability Theory
Intended Audience
Master students in Mathematics, Business Mathematics and Mathematical Biometrics
Master finance students can attend this lecture, too. The lecture will be held in German.
Exam
tba
Literature
- Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch. Modelling Extremal Events for Insurance and Finance. Springer, 1997
- Laurens de Haan, Ana Ferreira. Extreme Value Theory: An Introduction. Springer, 2006
- Sidney Resnick. Heavy-Tail Phenomena: probabilistic and statistical modeling. Springer, 2007.
- Sidney Resnick. Extreme Values, Regular Variation and Point Processes. Springer, 2007
- Michael Falk, Jürg Hüsler, Rolf-Dieter Reiss. Laws of Small Numbers: Extremes and Rare Events. Springer, 2010.