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Stochastics of environmental and financial economics [electronic resource] : centre of advanced study, Oslo, Norway, 2014-2015

Stochastics of environmental and financial economics [electronic resource] : centre of advanced study, Oslo, Norway, 2014-2015

자료유형
E-Book(소장)
개인저자
Benth, Fred Espen. Di Nunno, Giulia.
서명 / 저자사항
Stochastics of environmental and financial economics [electronic resource] : centre of advanced study, Oslo, Norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.
발행사항
Cham :   Springer International Publishing :   Imprint: Springer,   c2016.  
형태사항
1 online resource (viii, 360 p.).
총서사항
Springer proceedings in mathematics & statistics,2194-1009 ; 138
ISBN
9783319234250
요약
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.
일반주기
Title from e-Book title page.  
내용주기
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.
서지주기
Includes bibliographical references.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Finance --Mathematical models --Congresses. Environmental economics --Mathematical models --Congresses. Stochastic processes --Congresses.
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020 ▼a 9783319234250
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082 0 4 ▼a 332.01176 ▼2 23
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090 ▼a 332.01176
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 1 ▼a Cham : ▼b Springer International Publishing : ▼b Imprint: Springer, ▼c c2016.
300 ▼a 1 online resource (viii, 360 p.).
490 1 ▼a Springer proceedings in mathematics & statistics, ▼x 2194-1009 ; ▼v 138
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references.
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.
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.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Finance ▼x Mathematical models ▼v Congresses.
650 0 ▼a Environmental economics ▼x Mathematical models ▼v Congresses.
650 0 ▼a Stochastic processes ▼v Congresses.
700 1 ▼a Benth, Fred Espen.
700 1 ▼a Di Nunno, Giulia.
711 2 ▼a Conference on Stochastics of Environmental and Financial Economics ▼n (1st : ▼d 2014 : ▼c Oslo, Norway).
830 0 ▼a Springer proceedings in mathematics & statistics ; ▼v 138.
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-3-319-23425-0
945 ▼a KLPA
991 ▼a E-Book(소장)

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/e-Book 컬렉션/ 청구기호 CR 332.01176 등록번호 E14020493 도서상태 대출불가(열람가능) 반납예정일 예약 서비스 M

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