Stochastics of environmental and financial economics : centre of advanced study, oslo, norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.
Tipo de material:
TextoSeries Springer Proceedings in Mathematics & Statistics ; 138Editor: Cham : Springer International Publishing : Springer, 2016Edición: 1st ed. 2016Descripción: viii, 360 páginas : 31 ilustraciones, 27 ilustraciones en colorTipo de contenido: - texto
- computadora
- recurso en línea
- 9783319234250
- Q295
Springer eBooks
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.
Open Access
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