Benth, Fred Espen
Stochastics of Environmental and Financial Economics
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
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
Avainsanat: 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
- Toimittaja
- Benth, Fred Espen
- Nunno, Giulia Di
- Julkaisija
- Springer
- Julkaisuvuosi
- 2016
- Kieli
- en
- Painos
- 1st ed. 2016
- Sarja
- Springer Proceedings in Mathematics & Statistics
- Sivumäärä
- 8 sivua
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9783319234250
- Painetun ISBN
- 978-3-319-23424-3