Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, 2014-2
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- Artikel-Nr.: 10446594
Beschreibung
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.
Eigenschaften
Breite: | 155 |
Gewicht: | 563 g |
Höhe: | 235 |
Seiten: | 360 |
Sprachen: | Englisch |
Autor: | Fred Espen Benth, Giulia Di Nunno |
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