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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

Material type
E-Book(소장)
Personal Author
Benth, Fred Espen. Di Nunno, Giulia.
Title Statement
Stochastics of environmental and financial economics [electronic resource] : centre of advanced study, Oslo, Norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.
Publication, Distribution, etc
Cham :   Springer International Publishing :   Imprint: Springer,   c2016.  
Physical Medium
1 online resource (viii, 360 p.).
Series Statement
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.
General Note
Title from e-Book title page.  
Content Notes
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.
Bibliography, Etc. Note
Includes bibliographical references.
이용가능한 다른형태자료
Issued also as a book.  
Subject Added Entry-Topical Term
Finance --Mathematical models --Congresses. Environmental economics --Mathematical models --Congresses. Stochastic processes --Congresses.
Short cut
URL
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008 200414s2016 sz ob 100 0 eng d
020 ▼a 9783319234250
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050 4 ▼a Q295
082 0 4 ▼a 332.01176 ▼2 23
084 ▼a 332.01176 ▼2 DDCK
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)

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/e-Book Collection/ Call Number CR 332.01176 Accession No. E14020493 Availability Loan can not(reference room) Due Date Make a Reservation Service M

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