Stochastics of Environmental and Financial Economics Centre of Advanced Study, Oslo, Norway, 2014-2015
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...
| Otros Autores: | , , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cham
Springer Nature
2015
Cham : 2016. |
| Edición: | 1st ed. 2016. |
| Colección: | Springer Proceedings in Mathematics & Statistics,
138 |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009426603406719 |
Tabla de Contenidos:
- 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.
