The book is divided into three general parts covering introduction, probability and statistics.
The introduction also includes a couple of crash courses on regular variation and weak convergence. Given the technicality of the book there is slight negligence on the intuitive presentation of the concepts. Exercises are provided at the end of each chapter.
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Naturally all of the exercises are technical and proof based. Doing the exercises will greatly improve the understanding of the subject. One of the biggest drawbacks of the book is the lack of examples.
Heavy-tail phenomena : probabilistic and statistical modeling [electronic resource]
The author should have provided bigger scale examples with much more explanation. The book is suitable for graduate students in mathematical finance, finance, operations research and other similar fields. She hold a Masters degree in statistics from Rice University. Her main research areas are in mathematical finance; more precisely, statistical mehods of credit and market risk.
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Apart from the academic work she does consulting work for financial institutions. Crash Courses. More Statistics. Skip to main content.
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Tiandong Wang Cornell University Verified email at cornell. Marron University of North Carolina Verified email at unc. Anna Gilbert University of Michigan Verified email at umich.
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