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

 Problem set 1


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.

Contact

Lecturer

 

  • Office hours on appointment
  • Phone: +49 (0)731/50-23527
  • Homepage

Teaching Assistant

News


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