Theory of Large Deviations

jungle · November 22nd, 2001, 9:59 pm

can anyone recommend any papers on the Theory of Large Deviations and its application to finance? thanks, jungle.

hari · November 23rd, 2001, 10:55 pm

If I recall correctly, in large deviations theory you look at the asymptotic properties of tail events as the amount of data increases. I have a .ps file (not written by me) which gives a readable introduction. I would be happy to send it to you by email, although I am dubious about its applicability to finance.Hari

jungle · November 24th, 2001, 11:54 am

hari, that would be great, thank you. my email is mjw013@stir.ac.ukjungle

scholar · November 24th, 2001, 1:56 pm

Sornette considered applications of large deviations theory to portfolio optimization. See http://xxx.lanl.gov/abs/cond-mat/9802059.He also has a review paper: http://xxx.lanl.gov/abs/cond-mat/9705132.