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Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, 2014-2015 de Fred Espen Benth

Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, 2014-2015: Springer Proceedings in Mathematics & Statistics, cartea 138

Editat de Fred Espen Benth, Giulia Di Nunno
en Limba Engleză Paperback – 23 aug 2016
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.
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Specificații

ISBN-13: 9783319370620
ISBN-10: 3319370626
Pagini: 360
Ilustrații: VIII, 360 p.
Dimensiuni: 155 x 235 mm
Greutate: 0.52 kg
Ediția:Softcover reprint of the original 1st ed. 2016
Editura: Springer International Publishing
Colecția Springer
Seria Springer Proceedings in Mathematics & Statistics

Locul publicării:Cham, Switzerland

Cuprins

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.

Textul de pe ultima copertă

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.

Caracteristici

Focuses on sophisticated stochastic processes and random fields of energy and weather Includes peer-reviewed research and survey papers by some of the foremost international researchers Develops new theory in stochastic analysis and probability theory to analyze and solve problems related to risk management and valuation in modern energy and finance Includes supplementary material: sn.pub/extras