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Stochastics of environmental and financial economics[electronic resource] :Centre of Advanced Study, Oslo, Norway, 2014-2015 /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	519
書名/作者:	Stochastics of environmental and financial economics : Centre of Advanced Study, Oslo, Norway, 2014-2015 // edited by Fred Espen Benth, Giulia Di Nunno.
其他作者:	Benth, Fred Espen.
出版者:	Cham : : Springer International Publishing :, 2016.
面頁冊數:	viii, 360 p. : : ill., digital ;; 24 cm.
Contained By:	Springer eBooks
標題:	Mathematics.
標題:	Partial differential equations.
標題:	Game theory.
標題:	System theory.
標題:	Calculus of variations.
標題:	Probabilities.
標題:	Environmental economics.
標題:	Systems Theory, Control.
標題:	Probability Theory and Stochastic Processes.
標題:	Environmental Economics.
標題:	Game Theory, Economics, Social and Behav. Sciences.
標題:	Partial Differential Equations.
標題:	Calculus of Variations and Optimal Control; Optimization.
ISBN:	9783319234250
ISBN:	9783319234243
內容註:	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.
摘要、提要註:	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. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on "Stochastics of Environmental and Financial Economics (SEFE)", being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.
電子資源:	http://dx.doi.org/10.1007/978-3-319-23425-0

Stochastics of environmental and financial economics[electronic resource] :Centre of Advanced Study, Oslo, Norway, 2014-2015 /
Stochastics of environmental and financial economicsCentre of Advanced Study, Oslo, Norway, 2014-2015 /[electronic resource] :edited by Fred Espen Benth, Giulia Di Nunno. - Cham :Springer International Publishing :2016. - viii, 360 p. :ill., digital ;24 cm. - Springer proceedings in mathematics & statistics,v.1382194-1009 ;. - Springer proceedings in mathematics & statistics ;v.70..

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.

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. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on "Stochastics of Environmental and Financial Economics (SEFE)", being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

ISBN: 9783319234250

Standard No.: 10.1007/978-3-319-23425-0doiSubjects--Topical Terms:

172349
Mathematics.

LC Class. No.: Q295

Dewey Class. No.: 519

Stochastics of environmental and financial economics[electronic resource] :Centre of Advanced Study, Oslo, Norway, 2014-2015 /
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