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

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概要 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 th...eir 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.続きを見る
目次 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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登録日 2020.06.27
更新日 2020.12.23