05265nam 22009855 450 991016076970332120251230061733.09783319234250331923425010.1007/978-3-319-23425-0(CKB)3710000000521705(SSID)ssj0001585577(PQKBManifestationID)16265446(PQKBTitleCode)TC0001585577(PQKBWorkID)14866436(PQKB)10535324(DE-He213)978-3-319-23425-0(MiAaPQ)EBC5578094(Au-PeEL)EBL5578094(OCoLC)1066188258(MiAaPQ)EBC6422893(Au-PeEL)EBL6422893(oapen)https://directory.doabooks.org/handle/20.500.12854/34595(PPN)19052491X(ScCtBLL)8b0c63d3-4ea0-4bb0-9b9e-00a6f4defaed(OCoLC)1163854934(ODN)ODN0010073774(EXLCZ)99371000000052170520151023d2016 u| 0engurnn#008mamaatxtccrStochastics of Environmental and Financial Economics Centre of Advanced Study, Oslo, Norway, 2014-2015 /edited by Fred Espen Benth, Giulia Di Nunno1st ed. 2016.Cham :Springer International Publishing :Imprint: Springer,2016.1 online resource (VIII, 360 p.)Springer Proceedings in Mathematics & Statistics,2194-1017 ;138Bibliographic Level Mode of Issuance: Monograph9783319234243 3319234242 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.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.Springer Proceedings in Mathematics & Statistics,2194-1017 ;138System theoryControl theoryProbabilitiesEnvironmental economicsGame theoryDifferential equationsMathematical optimizationCalculus of variationsSystems Theory, ControlProbability TheoryEnvironmental EconomicsGame TheoryDifferential EquationsCalculus of Variations and OptimizationSystem theory.Control theory.Probabilities.Environmental economics.Game theory.Differential equations.Mathematical optimization.Calculus of variations.Systems Theory, Control.Probability Theory.Environmental Economics.Game Theory.Differential Equations.Calculus of Variations and Optimization.519BUS069000MAT005000MAT007000MAT011000MAT029000SCI064000bisacshBenth Fred Espenedt151492Benth Fred Espenedthttp://id.loc.gov/vocabulary/relators/edtDi Nunno Giuliaedthttp://id.loc.gov/vocabulary/relators/edtMiAaPQMiAaPQMiAaPQBOOK9910160769703321Stochastics of Environmental and Financial Economics3360602UNINA