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Title Stochastics of environmental and financial economics : Centre of Advanced Study, Oslo, Norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.

Publication Info. Cham : Springer Open, [2016]

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 University of Saint Joseph: Pope Pius XII Library - Internet  WORLD WIDE WEB E-BOOK Springer    Downloadable
Please click here to access this Springer resource
 University of Saint Joseph: Pope Pius XII Library - Internet  WORLD WIDE WEB E-BOOK Springer    Downloadable
Please click here to access this Springer resource
Description 1 online resource (viii, 360 pages) : illustrations (some color).
text file PDF rda
Series Springer Proceedings in Mathematics & Statistics, 2194-1009 ; 138
Springer proceedings in mathematics & statistics ; 138. 2194-1009
Contents 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.
Summary 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.
Local Note SpringerLink Springer Nature Open Access eBooks
Subject Economics -- Mathematical models.
Finance -- Mathematical models.
Stochastic analysis.
Calculus of variations. (OCoLC)fst00844140
Differential equations, Partial. (OCoLC)fst00893484
Environmental economics. (OCoLC)fst00912895
Game theory. (OCoLC)fst00937501
Mathematics. (OCoLC)fst01012163
Probabilities. (OCoLC)fst01077737
System theory. (OCoLC)fst01141423
Operations Research.
Civil & Environmental Engineering.
Engineering & Applied Sciences.
Added Author Benth, Fred Espen, 1969- editor.
Di Nunno, Giulia, editor.
Other Form: Printed edition: 9783319234243 (OCoLC)915119969
ISBN 9783319234250 (electronic book)
3319234250 (electronic book)
9783319234243 (print)
3319234242 (print)
Standard No. 10.1007/978-3-319-23425-0 doi
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