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Extreme value theory.

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Premier chapitre du “Capital”, ce texte explore un concept au cœur de notre société de consommation contemporaine. Ce chapitre parut en France en 1872, aux prix de dix centimes. Ainsi publié sous forme de petits fascicules, en livraisons périodiques, “Le Capital”, œuvre immense mais chère, “sera plus accessible à la classe ouvrière, et pour moi, déclare Marx à son éditeur français, cette considération l'emporte sur toute autre”. Il se trouve en outre que “La Marchandise” contient l'une des trouvailles les plus importantes du “Capital”, plus que jamais d'actualité dans ce monde où tout est devenu marchandise. “Le Travail” est au programme des Prépas scientifiques de 2023 et ce texte pourra constituer une parfaite introduction à la pensée de Marx

Economics --- Commodification --- Extreme value theory

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"A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions.  Beginning with a fascinating history of EVTs and financials modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques, and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications also includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets  Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities  The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance"-- "Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"-- Provided by publisher.

Finance --- Extreme value theory --- Mathematical models.

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Extreme value theory --- Distribution (Probability theory) --- Point processes

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This book deals with extreme value theory for univariate and multivariate time series models characterized by power-law tails. These include the classical ARMA models with heavy-tailed noise and financial econometrics models such as the GARCH and stochastic volatility models. Rigorous descriptions of power-law tails are provided through the concept of regular variation. Several chapters are devoted to the exploration of regularly varying structures. The remaining chapters focus on the impact of heavy tails on time series, including the study of extremal cluster phenomena through point process techniques. A major part of the book investigates how extremal dependence alters the limit structure of sample means, maxima, order statistics, sample autocorrelations. This text illuminates the theory through hundreds of examples and as many graphs showcasing its applications to real-life financial and simulated data. The book can serve as a text for PhD and Master courses on applied probability, extreme value theory, and time series analysis. It is a unique reference source for the heavy-tail modeler. Its reference quality is enhanced by an exhaustive bibliography, annotated by notes and comments making the book broadly and easily accessible. .

Extreme value theory. --- Probabilities. --- Mathematical statistics. --- Applied Probability. --- Mathematical Statistics.