The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a...

The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a...

The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a...

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...