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Stochastics of environmental and fin...

Benth, Fred Espen.

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

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastics of environmental and financial economics/ edited by Fred Espen Benth, Giulia Di Nunno.
Reminder of title:	Centre of Advanced Study, Oslo, Norway, 2014-2015 /
other author:	Benth, Fred Espen.
Published:	Cham :Springer International Publishing : : 2016.,
Description:	viii, 360 p. :ill., digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Mathematics. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-23425-0
ISBN:	9783319234250$q(electronic bk.)

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.19..

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$q(electronic bk.)

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

515831
Mathematics.

LC Class. No.: Q295

Dewey Class. No.: 519

Stochastics of environmental and financial economics = Centre of Advanced Study, Oslo, Norway, 2014-2015 /
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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.
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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 515831
650 0 $a Partial differential equations. $3 2180177
650 0 $a Game theory. $3 532607
650 0 $a System theory. $3 525574
650 0 $a Calculus of variations. $3 516604
650 0 $a Probabilities. $3 518889
650 0 $a Environmental economics. $3 535179
650 2 4 $a Systems Theory, Control. $3 893834
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Environmental Economics. $3 895247
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 891103
650 2 4 $a Partial Differential Equations. $3 890899
650 2 4 $a Calculus of Variations and Optimal Control; Optimization. $3 898674
700 1 $a Benth, Fred Espen. $3 2054532
700 1 $a Di Nunno, Giulia. $3 1533313
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Springer proceedings in mathematics & statistics ; $v v.19. $3 1619928
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-23425-0
950 $a Mathematics and Statistics (Springer-11649)