Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Ambit Stochastics / / by Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
| Ambit Stochastics / / by Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart |
| Autore | Barndorff-Nielsen Ole E |
| Edizione | [1st ed. 2018.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 |
| Descrizione fisica | XXV, 402 p. : gráf. ; ; 25 cm |
| Disciplina | 519.2 |
| Collana | Probability Theory and Stochastic Modelling |
| Soggetto topico |
Probabilities
Mathematical physics Social sciences - Mathematics Statistics Probability Theory Mathematical Physics Mathematics in Business, Economics and Finance Statistics in Business, Management, Economics, Finance, Insurance Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences |
| ISBN | 3-319-94129-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part I The purely temporal case -- 1 Volatility modulated Volterra processes -- 2 Simulation -- 3 Asymptotic theory for power variation of LSS processes -- 4 Integration with respect to volatility modulated Volterra processes -- Part II The spatio-temporal case -- 5 The ambit framework -- 6 Representation and simulation of ambit fields -- 7 Stochastic integration with ambit fields as integrators -- 8 Trawl processes -- Part III Applications -- 9 Turbulence modelling -- 10 Stochastic modelling of energy spot prices by LSS processes -- 11 Forward curve modelling by ambit fields -- Appendix A: Bessel functions -- Appendix B: Generalised hyperbolic distribution -- References -- Index. |
| Record Nr. | UNINA-9910300106803321 |
Barndorff-Nielsen Ole E
|
||
| Cham : , : Springer International Publishing : , : Imprint : Springer, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastics of Environmental and Financial Economics [[electronic resource] ] : Centre of Advanced Study, Oslo, Norway, 2014-2015 / / edited by Fred Espen Benth, Giulia Di Nunno
| Stochastics of Environmental and Financial Economics [[electronic resource] ] : Centre of Advanced Study, Oslo, Norway, 2014-2015 / / edited by Fred Espen Benth, Giulia Di Nunno |
| Autore | Benth Fred Espen |
| Edizione | [1st ed. 2016.] |
| Pubbl/distr/stampa | Cham, : Springer Nature, 2015 |
| Descrizione fisica | 1 online resource (VIII, 360 p.) |
| Disciplina | 519 |
| Collana | Springer Proceedings in Mathematics & Statistics |
| Soggetto topico |
System theory
Probabilities Environmental economics Game theory Partial differential equations Calculus of variations Systems Theory, Control Probability Theory and Stochastic Processes Environmental Economics Game Theory, Economics, Social and Behav. Sciences Partial Differential Equations Calculus of Variations and Optimal Control; Optimization |
| Soggetto non controllato |
Systems Theory
Control |
| ISBN | 3-319-23425-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910160769703321 |
|
Benth Fred Espen
|
||
| Cham, : Springer Nature, 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||