GANITA

Event Information Extreme Value Theory in Finance
12:10 on Thursday November 26, 2015
13:00 on Thursday November 26, 2015
HU1012, 215 Huron St.
Mariam Mourtada

Sigma Analysis and Management Ltd.

We will talk about Extreme Value Theory, and and its applications when modelling Financial series. The Theory started to emerge in the 1920's with a famous Theorem of Fisher-Tippet regarding the distribution of Block Maximas, and it continued to develop further with other Theorems focused on the distribution of extremes of a series, or what is called the tail of a distribution. We will present the state of the art of its industrial application, and show some examples.