Stochastics of Environmental and Financial Economics
-15%
portes grátis
Stochastics of Environmental and Financial Economics
Centre of Advanced Study, Oslo, Norway, 2014-2015
Benth, Fred Espen; Di Nunno, Giulia
Springer International Publishing AG
08/2016
360
Mole
Inglês
9783319370620
15 a 20 dias
5562
Descrição não disponível.
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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93E20, 91G80, 91G10, 91G20, 60H30, 60G07, 35R60, 49L25, 91B76;Control and Optimization;Energy Markets;Mathematical Finance;Stochastic Analysis;Weather;partial differential equations
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.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
