CoSy seminar: "How rare is rare? Assessing extreme behavior with applications to finance"

Everyone is welcome and the first 40 people to register will be treated to a free lunch sandwich. If you do not want lunch, you are still welcome to join.

Register for a lunch sandwich (deadline: Sunday 27 October).

Abstract: Modeling of rare phenomena is of paramount importance in many fields of science and wide variety of application areas of extreme value theory have multivariate problems to solve. The central problem in assessing tail behavior, such as extreme quantile regions corresponding to a very small probability, is that one only has few or no corresponding observations. In this talk we give a gentle guide to fundamentals of extreme value theory, present some recent results on multivariate extreme value theory, and provide few practical applications arising from finance.

This is a lecture in the seminar series held by CIM (Centre for Interdisciplinary Mathematics).