Benth, Fred Espen

Stochastics of Environmental and Financial Economics

Benth, Fred Espen - Stochastics of Environmental and Financial Economics, ebook


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ISBN: 9783319234250
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Table of contents

Part I. Foundations

1. Some Recent Developments in Ambit Stochastics
Ole E. Barndorff-Nielsen, Emil Hedevang, Jürgen Schmiegel, Benedykt Szozda

2. Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion
Andrea Cosso, Francesco Russo

3. Nonlinear Young Integrals via Fractional Calculus
Yaozhong Hu, Khoa N. Lê

4. A Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary Processes
Mark Podolskij, Nopporn Thamrongrat

5. Non-elliptic SPDEs and Ambit Fields: Existence of Densities
Marta Sanz-Solé, André Süß

Part II. Applications

6. Dynamic Risk Measures and Path-Dependent Second Order PDEs
Jocelyne Bion-Nadal

7. Pricing CoCos with a Market Trigger
José Manuel Corcuera, Arturo Valdivia

8. Quantification of Model Risk in Quadratic Hedging in Finance
Catherine Daveloose, Asma Khedher, Michèle Vanmaele

9. Risk-Sensitive Mean-Field Type Control Under Partial Observation
Boualem Djehiche, Hamidou Tembine

10. Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets
Paolo Falbo, Juri Hinz

11. Exponential Ergodicity of the Jump-Diffusion CIR Process
Peng Jin, Barbara Rüdiger, Chiraz Trabelsi

12. Optimal Control of Predictive Mean-Field Equations and Applications to Finance
Bernt Øksendal, Agnès Sulem

13. Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes
Almut E. D. Veraart

14. Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model
Ya Wen, Rüdiger Kiesel

Keywords: Mathematics, Systems Theory, Control, Probability Theory and Stochastic Processes, Environmental Economics, Game Theory, Economics, Social and Behav. Sciences, Partial Differential Equations, Calculus of Variations and Optimal Control; Optimization

Publication year
1st ed. 2016
Springer Proceedings in Mathematics & Statistics
Natural Sciences
Printed ISBN

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