國立虎尾科技大學 |

Stochastics of environmental and financial economics = Centre of Advanced Study, Oslo, Norway, 2014-2015 /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Stochastics of environmental and financial economics/ edited by Fred Espen Benth, Giulia Di Nunno.
其他題名:	Centre of Advanced Study, Oslo, Norway, 2014-2015 /
其他作者:	Benth, Fred Espen.
出版者:	Cham :Springer International Publishing : : 2016.,
面頁冊數:	viii, 360 p. :ill., digital ; : 24 cm.;
Contained By:	Springer eBooks
標題:	Mathematics. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-23425-0
ISBN:	9783319234250

Stochastics of environmental and financial economics = Centre of Advanced Study, Oslo, Norway, 2014-2015 /
Stochastics of environmental and financial economicsCentre of Advanced Study, Oslo, Norway, 2014-2015 /[electronic resource] :edited by Fred Espen Benth, Giulia Di Nunno. - Cham :Springer International Publishing :2016. - viii, 360 p. :ill., digital ;24 cm. - Springer proceedings in mathematics & statistics,v.1382194-1009 ;. - Springer proceedings in mathematics & statistics ;v.24..

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.

Open access.

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.

ISBN: 9783319234250

Standard No.: 10.1007/978-3-319-23425-0doiSubjects--Topical Terms:

527692
Mathematics.

LC Class. No.: Q295

Dewey Class. No.: 519

Stochastics of environmental and financial economics = Centre of Advanced Study, Oslo, Norway, 2014-2015 /
LDR:03089nam a2200349 a 4500 001 860971
003 DE-He213
005 20160802135852.0
006 m d
007 cr nn 008maaau
008 170720s2016 gw s 0 eng d
020 $a 9783319234250 $q (electronic bk.)
020 $a 9783319234243 $q (paper)
024 7 $a 10.1007/978-3-319-23425-0 $2 doi
035 $a 978-3-319-23425-0
040 $a GP $c GP
041 0 $a eng
050 4 $a Q295
072 7 $a GPFC $2 bicssc
072 7 $a SCI064000 $2 bisacsh
072 7 $a TEC004000 $2 bisacsh
082 0 4 $a 519 $2 23
090 $a Q295 $b .S864 2016
245 0 0 $a Stochastics of environmental and financial economics $h [electronic resource] : $b Centre of Advanced Study, Oslo, Norway, 2014-2015 / $c edited by Fred Espen Benth, Giulia Di Nunno.
260 $a Cham : $c 2016. $b Springer International Publishing : $b Imprint: Springer,
300 $a viii, 360 p. : $b ill., digital ; $c 24 cm.
490 1 $a Springer proceedings in mathematics & statistics, $x 2194-1009 ; $v v.138
505 0 $a 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.
506 $a Open access.
520 $a 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.
650 0 $a Mathematics. $3 527692
650 0 $a Partial differential equations. $3 1102982
650 0 $a Game theory. $3 556918
650 0 $a System theory. $3 566168
650 0 $a Calculus of variations. $3 527927
650 0 $a Probabilities. $3 527847
650 0 $a Environmental economics. $3 555780
650 2 4 $a Systems Theory, Control. $3 669337
650 2 4 $a Probability Theory and Stochastic Processes. $3 593945
650 2 4 $a Environmental Economics. $3 668788
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 669497
650 2 4 $a Partial Differential Equations. $3 671119
650 2 4 $a Calculus of Variations and Optimal Control; Optimization. $3 593942
700 1 $a Benth, Fred Espen. $3 1019561
700 1 $a Di Nunno, Giulia. $3 785451
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer eBooks
830 0 $a Springer proceedings in mathematics & statistics ; $v v.24. $3 883338
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-23425-0
950 $a Mathematics and Statistics (Springer-11649)