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
|
| 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 |
| ISBN: | 981-15-1576-X |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910484073403321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Mathematical Lectures from Peking University, . 2197-4209