La théorie des valeurs extrêmes : présentation et premières applications en finance
Journal de la société française de statistique, Tome 136 (1995) no. 1, pp. 77-97.
     author = {Longin, Fran\c{c}ois},
     title = {La th\'eorie des valeurs extr\^emes : pr\'esentation et premi\`eres applications en finance},
     journal = {Journal de la soci\'et\'e fran\c{c}aise de statistique},
     pages = {77--97},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {136},
     number = {1},
     year = {1995},
     language = {fr},
     url = {}
AU  - Longin, François
TI  - La théorie des valeurs extrêmes : présentation et premières applications en finance
JO  - Journal de la société française de statistique
PY  - 1995
DA  - 1995///
SP  - 77
EP  - 97
VL  - 136
IS  - 1
PB  - Société de statistique de Paris
UR  -
LA  - fr
ID  - JSFS_1995__136_1_77_0
ER  - 
Longin, François. La théorie des valeurs extrêmes : présentation et premières applications en finance. Journal de la société française de statistique, Tome 136 (1995) no. 1, pp. 77-97.

Alexandre H. (1991) " La Quasi-Marche Aléatoire", Finance, 13, pp 5-21.

Allaz B. (1994) " A Short Survey of Some Empirical Features of Financial Assets Rates of Returns", Document de Recherche, Groupe HEC.

Berman S.M. (1963) " Limiting Theorems for the Maximum Term in Stationary Sequences", Annals of Mathematical Statistics, 35, pp 502-516. | MR 161365 | Zbl 0122.13503

Berthon J. et Gallais-Hamonno G. (1989) " L'assurance de portefeuille : théorie et pratique", R. Analyse Financière, n° 77.

Berthon J. et Gallais-Hamonno G. (1991) " La robustesse de l'assurance de portefeuille par réplication d'option en delta-rente", R. Analyse Financière, 4e trimestre.

Black F. et M. Scholes (1973) " The Pricing of Options and Corporate Liabilities", Journal ofPolitical Economy, 81, pp 637-659. | Zbl 1092.91524

Brady N. (1988) Report ofthe Presidential Task Force on Market Mechanisms.

Chance M.D. (1990) " The Effect of Margins on the Volatility of Stock and Derivative Markets : A Review of the Evidence", Monograph Series in Finance and Economics, Salomon Brothers Center for the Study of Financial Institutions, New York University.

De Haan L. et Resnick I.S. (1980) " A Simple Asymptotic Estimate for the Index of a Stable Distribution", Journal of the Royal Statistical Society, Series B, pp 83-87. | MR 567205 | Zbl 0422.62017

De Haan L., Resnick I.S., Rootzen H. et De Vries C.G. (1989) " Extremal Behavior of Solutions to a Stochastic Difference Equation with Applications to ARCH Process", Stochastic Processes and their Applications, 32, pp 213-224. | MR 1014450 | Zbl 0679.60029

Dimson E. et Marsh P. (1994) " The Debate on International Capital Requirements", The City Research Project, London Business School.

Duffie D. (1989) Futures Markets, Prentice Hall, New Jersey.

Fama E.F. (1965) " The Behavior of Stock Market Prices", Journal of Business, 38, pp 34-105.

Folkerts-Landau D. et Garber P.M. (1991) " The ECB : A Bank or a Monetary Policy Rule ?", Dans Establishing a Central Bank : Issues in Europe and Lessons from the US, Edité par M.B Canzoneri, V. Grilli et P.R. Masson, CEPR et IMF, New York.

Galambos J. (1978) The Asymptotic Theory of Extreme Order Statistics, John Wilhey and Sons, New York. | MR 489334 | Zbl 0381.62039

Gnedenko B.V. (1943) " Sur la Distribution Limite du Terme Maximum d'une Série Aléatoire", Annals of Mathematics, 44, pp 423-453. | MR 8655 | Zbl 0063.01643

Gumbel E.J. (1958) Statistics of Extremes, Columbia University Press, New York. | MR 96342 | Zbl 0086.34401

Hamon J. et Jacquillat B. (1992) Le Marché Français des Actions. Etude Empiriques 1977-1991, Presses Universitaires de France, Paris.

Hill B.M. (1975) " A Simple General Approach to Inference about the Tail of a Distribution", Annals of Statistics, 46, pp 1163-1173. | MR 378204 | Zbl 0323.62033

Hull J.C. (1993) Options, Futures and Other Derivatives, Second Edition, Prentice Hall, New Jersey.

Jansen D.W. et De Vries C.G. (1991) " On the Frequency of Large Stock Returns : Putting Booms and Busts into Perspectives", Review of Economic and Statistics, 73, pp 18-24.

Jenkinson A.F. (1955) " The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements", Quarterly Journal of the Royal Meteorology Society, 87, pp 145-158.

Jones C.P., Sylla R.E. et Wilson J.W. (1988) " Financial Market Panics and Volatility in the Long Run, 1830-1988", dans Crashes and Panics, Edité par E.N. White, Business One Irwin.

Kindleberger C. (1978) Manias, Panics and Crashes, Seconde Edition, Macmillan, New York.

Kinnison R.R. (1985) Applied Extreme Value, Battelle Press, New York.

Leadbetter M.R., Lindgren G. et Rootzen H. (1983) " Extremes and Related Properties of Random Sequences and Processes", Springer Verlag, New York. | MR 691492 | Zbl 0518.60021

Leland H. et Rubinstein M. (1981) " Replicating Options with Positions in Stock and Cash", Financial Analysts Journal, July-August, pp 63-72.

Longin F. ( 1993a) Volatilité et Mouvements Extrêmes du Marché Boursier, Thèse, Groupe HEC.

Longin F. ( 1993b) " Booms and Crashes. Application of Extreme Value Theory to the US Stock Market", Document de Recherche #179-93, London Business School.

Longin F. ( 1994a) " The Margin-Volatility Relationship : A Test Based on Extreme Price Movements", Document de Recherche #191-94, London Business School.

Longin F. ( 1994b) " Optimal Margin Level in Futures Markets : A Parametric Extreme-Based Method", Document de Recherche #192-94, London Business School.

Longin F. ( 1994c) " The Choice of the Distribution for Asset Returns : Extreme Values Can Help", Document de Recherche, ESSEC.

Longin F. ( 1994d) " Crash Options. Part I : Definition, Motivation and Implementation", Document de Recherche, ESSEC.

Longin F. ( 1994e) " Crash Options. Part II : Valuation", Document de Recherche, ESSEC.

Longin F. ( 1994f) " Instability of the U.S. Equity Market : Empirical Evidence Based on Extreme Price Movements," Document de Recherche, ESSEC.

Loretan M. and Phillips P.C.B. (1994) " Testing for Covariance Stationarity of Heavy-tailed Time Series : An Overview of the Theory with Applications to Several Financial Datasets", Journal of Empirical Finance, 2, pp 211-248.

Maisel S.J. (1981) Risk and Capital Adequacy in Commercial Banks, Recueil d'Articles, University of Chicago Press, Chicago.

Pickands J. (1975) " Statistical Inference Using Extreme Order Statistics", Annals of Statistics, 45, pp 119-131. | MR 423667 | Zbl 0312.62038

Rothschild M. et Stiglitz J.E. (1970) " Increasing Risk : I. A Definition", Journal of Economic Theory, 2, pp 225-243. | MR 503565

Tiago De Oliveira J. (1973) " Statistical Extremes - A Survey", Center of Applied Mathematics, Faculty of Sciences, Lisbon.

U.S. COMMODITY FUTURES TRADING COMMISSION (1987) Interim Report on Stock Index Futures and Crash Market Activity during October 1987, Division of Economic Analysis and Division of Trading and Markets.

Watson G.S. (1954) " Extreme Values in Samples from m-dependent Stationary Stochastic Processes", Annals of Mathematical Statistics, 25, pp 798-800. | MR 65122 | Zbl 0056.36204