Uma introdução a grandes desvios com aplicações em finanças quantitativa
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Data
2022-12-21
Autores
Moreira, Vinicio Rodrigues
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Universidade Federal do Espírito Santo
Resumo
In this dissertation we will introduce the reader to The Theory of Large Deviations. We will develop results that will allow us to estimate the decay rate of the probability of an event, as well as an introduction to an application in quantitative finance. The main results of this work are Sanov’s Theorem, which allows us to study the decay speed of probabilities in a finite set, Crámer’s Theorem, which allows us to study the decay speed of probabilities in R, and a Theorem in the Sanov’s Theorem, which introduces us to the study of Losses in Large Risk Credit Portfolios.
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Teorema de Crámer , Teoria dos grandes desvios , Teorema de Sanov