This Demonstration shows a simple example of using extreme value theory to calculate the probability density function for the
greatest number in a series of
random numbers drawn from three distributions of some importance in financial calculations. Many observations of the
greatest number in a sample of size
drawn randomly from the specified distribution are taken and displayed via a histogram. The red curve is the graph of the analytical expression for the
smallest number, derived by considering the probability that, in a sequence of
numbers are greater than
numbers are smaller, all this weighted by the binomial distribution (see Details).