Del 138 - Springer Proceedings in Mathematics & Statistics

Stochastics of Environmental and Financial Economics

Centre of Advanced Study, Oslo, Norway, 2014-2015

Inbunden, Engelska, 2015

689 kr

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These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems.

Produktinformation

Utgivningsdatum2015-11-10
Mått155 x 235 x 26 mm
Vikt717 g
FormatInbunden
SpråkEngelska
SerieSpringer Proceedings in Mathematics & Statistics
Antal sidor360
Upplaga15001
FörlagSpringer International Publishing AG
ISBN9783319234243

Tillhör följande kategorier

Some recent developments in ambit stochastics.- Functional and Banach space stochastic calculi. Path-dependent Kolmogorov equations associated with the frame of a Brownian motion.- Nonlinear Young integrals via fractional calculus.- A weak limit theorem for numerical approximation of Brownian semi-stationary processes.- Non-elliptic SPDEs and ambit fields: existence of densities.- Dynamic risk measures and path-dependent second order PDEs.- Pricing CoCos with a market trigger.- Quantification of model risk in quadratic hedging in finance.- Risk-sensitive mean-field type control under partial observation.- Risk aversion in modeling of cap-and-trade mechanism and optimal design of emission markets.- Exponential ergodicity of the jump-diffusion CIR process.- Optimal control of predictive mean-field equations and applications to finance.- Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes.- Pricing options on EU ETS certificates with a time-varying market price of risk model.

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