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From Probability to Finance : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao



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Titolo: From Probability to Finance : Lecture Notes of BICMR Summer School on Financial Mathematics / / edited by Ying Jiao Visualizza cluster
Pubblicazione: Singapore : , : Springer Singapore : , : Imprint : Springer, , 2020
Edizione: 1st ed. 2020.
Descrizione fisica: 1 online resource (VII, 248 p. 25 illus., 20 illus. in color.)
Disciplina: 332.0151922
Soggetto topico: Applied mathematics
Engineering mathematics
Probabilities
Applications of Mathematics
Probability Theory and Stochastic Processes
Persona (resp. second.): JiaoYing
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: Zenghu Li: Continuous-state branching processes with immigration -- Christophette Blanchet-Scalliet and Monique Jeanblanc: Enlargement of filtration in discrete time -- Guillaume Bernis and Simone Scotti: Clustering Effects via Hawkes Processes -- Jingping Yang, Fang Wang and Zongkai Xie: Bernstein Copulas and Composite Bernstein Copulas -- Claudio Albanese, Marc Chataigner and Stéphane Crépey: Wealth Transfers, Indifference Pricing, and XVA Compression Schemes.
Sommario/riassunto: This volume presents a collection of lecture notes of mini-courses taught at BICMR Summer School of Financial Mathematics, from May 29 to June 9, 2017. Each chapter is self-contained and corresponds to one mini-course which deals with a distinguished topic, such as branching processes, enlargement of filtrations, Hawkes processes, copula models and valuation adjustment analysis, whereas the global topics cover a wide range of advanced subjects in financial mathematics, from both theoretical and practical points of view. The authors include world-leading specialists in the domain and also young active researchers. This book will be helpful for students and those who work on probability and financial mathematics. .
Titolo autorizzato: From Probability to Finance  Visualizza cluster
ISBN: 981-15-1576-X
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910484073403321
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Serie: Mathematical Lectures from Peking University, . 2197-4209