A Forward-Backward SDEs Approach to Pricing in Carbon Markets / Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls |
Autore | Chassagneux, Jean-François |
Pubbl/distr/stampa | Cham, : Springer, 2017 |
Descrizione fisica | vi, 104 p. : ill. ; 24 cm |
Altri autori (Persone) |
Chotai, Hinesh
Muûls, Mirabelle |
Soggetto topico |
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020]
91G80 - Financial applications of other theories [MSC 2020] |
Soggetto non controllato |
Carbon markets
Commodity prices Emissions permits Energy economics Environmental economics Environmental finance Forward-Backward Stochastic Differential Equations Parameter Estimation Pricing in carbon markets Quantitative Finance Stochastic Analysis |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0124026 |
Chassagneux, Jean-François | ||
Cham, : Springer, 2017 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
A Forward-Backward SDEs Approach to Pricing in Carbon Markets / Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls |
Autore | Chassagneux, Jean-François |
Pubbl/distr/stampa | Cham, : Springer, 2017 |
Descrizione fisica | vi, 104 p. : ill. ; 24 cm |
Altri autori (Persone) |
Chotai, Hinesh
Muûls, Mirabelle |
Soggetto topico |
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020]
91G80 - Financial applications of other theories [MSC 2020] |
Soggetto non controllato |
Carbon markets
Commodity prices Emissions permits Energy economics Environmental economics Environmental finance Forward-Backward Stochastic Differential Equations Parameter Estimation Pricing in carbon markets Quantitative Finance Stochastic Analysis |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN00124026 |
Chassagneux, Jean-François | ||
Cham, : Springer, 2017 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
A Forward-Backward SDEs Approach to Pricing in Carbon Markets / Jean-François Chassagneux, Hinesh Chotai, Mirabelle Muûls |
Autore | Chassagneux, Jean-François |
Edizione | [Cham : Springer, 2017] |
Pubbl/distr/stampa | vi, 104 p., : ill. ; 24 cm |
Descrizione fisica | Pubblicazione in formato elettronico |
Altri autori (Persone) |
Chotai, Hinesh
Muûls, Mirabelle |
Soggetto topico |
60H30 - Applications of stochastic analysis (to PDEs, etc.) [MSC 2020]
91G80 - Financial applications of other theories [MSC 2020] |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-SUN0124026 |
Chassagneux, Jean-François | ||
vi, 104 p., : ill. ; 24 cm | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Advanced modelling in mathematical finance : in honour of Ernst Eberlein / Jan Kallsen, Antonis Papapantoleon editors |
Pubbl/distr/stampa | [Cham], : Springer, 2016 |
Descrizione fisica | XXIV, 496 p. : ill. ; 24 cm |
Soggetto topico |
60G44 - Martingales with continuous parameter [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 60G48 - Generalizations of martingales [MSC 2020] 91G70 - Statistical methods; risk measures [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] 91G10 - Portfolio theory [MSC 2020] 91G40 - Credit risk [MSC 2020] 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020] |
Soggetto non controllato |
Advanced stochastic models
Ernst Eberlein Festschrift Mathematical Finance Option pricing and hedging Processes with jumps Quantitative Finance Statistics Term structure models |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0114265 |
[Cham], : Springer, 2016 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Advanced modelling in mathematical finance : in honour of Ernst Eberlein / Jan Kallsen, Antonis Papapantoleon editors |
Pubbl/distr/stampa | [Cham], : Springer, 2016 |
Descrizione fisica | XXIV, 496 p. : ill. ; 24 cm |
Soggetto topico |
60G44 - Martingales with continuous parameter [MSC 2020]
60G48 - Generalizations of martingales [MSC 2020] 91G10 - Portfolio theory [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 91G40 - Credit risk [MSC 2020] 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020] 91G70 - Statistical methods; risk measures [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] 91Gxx - Actuarial science and mathematical finance [MSC 2020] |
Soggetto non controllato |
Advanced stochastic models
Ernst Eberlein Festschrift Mathematical Finance Option pricing and hedging Processes with jumps Quantitative Finance Statistics Term structure models |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN00114265 |
[Cham], : Springer, 2016 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Advanced modelling in mathematical finance : in honour of Ernst Eberlein / Jan Kallsen, Antonis Papapantoleon editors |
Edizione | [[Cham] : Springer, 2016] |
Pubbl/distr/stampa | XXIV, 496 p., : ill. ; 24 cm |
Descrizione fisica | Pubblicazione in formato elettronico |
Soggetto topico |
60G44 - Martingales with continuous parameter [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 60G48 - Generalizations of martingales [MSC 2020] 91G70 - Statistical methods; risk measures [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] 91G10 - Portfolio theory [MSC 2020] 91G40 - Credit risk [MSC 2020] 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020] |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-SUN0114265 |
XXIV, 496 p., : ill. ; 24 cm | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
An Introduction to Optimal Control of FBSDE with Incomplete Information / Guangchen Wang, Zhen Wu, Jie Xiong |
Autore | Wang, Guangchen |
Pubbl/distr/stampa | Cham, : Springer, 2018 |
Descrizione fisica | xi, 116 p. ; 24 cm |
Altri autori (Persone) |
Wu, Zhen
Xiong, Jie |
Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 60G35 - Signal detection and filtering (aspects of stochastic processes) [MSC 2020] 93E11 - Filtering in stochastic control theory [MSC 2020] 49N10 - Linear-quadratic optimal control problems [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] |
Soggetto non controllato |
Backward Separation Approach
Backward Stochastic Differential Equation Closed-form Optimal Solution LQ Optimal Control Mathematical Finance Optimal Filtering Stochastic Maximum Principle Verification Theorem |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0124566 |
Wang, Guangchen | ||
Cham, : Springer, 2018 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
An Introduction to Optimal Control of FBSDE with Incomplete Information / Guangchen Wang, Zhen Wu, Jie Xiong |
Autore | Wang, Guangchen |
Pubbl/distr/stampa | Cham, : Springer, 2018 |
Descrizione fisica | xi, 116 p. ; 24 cm |
Altri autori (Persone) |
Wu, Zhen
Xiong, Jie |
Soggetto topico |
49N10 - Linear-quadratic optimal control problems [MSC 2020]
60G35 - Signal detection and filtering (aspects of stochastic processes) [MSC 2020] 60H10 - Stochastic ordinary differential equations [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] 93E11 - Filtering in stochastic control theory [MSC 2020] 93E20 - Optimal stochastic control [MSC 2020] |
Soggetto non controllato |
Backward Separation Approach
Backward Stochastic Differential Equation Closed-form Optimal Solution LQ Optimal Control Mathematical Finance Optimal Filtering Stochastic Maximum Principle Verification Theorem |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN00124566 |
Wang, Guangchen | ||
Cham, : Springer, 2018 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
An Introduction to Optimal Control of FBSDE with Incomplete Information / Guangchen Wang, Zhen Wu, Jie Xiong |
Autore | Wang, Guangchen |
Edizione | [Cham : Springer, 2018] |
Descrizione fisica | Pubblicazione in formato elettronico |
Altri autori (Persone) |
Wu, Zhen
Xiong, Jie |
Soggetto topico |
93E20 - Optimal stochastic control [MSC 2020]
60H10 - Stochastic ordinary differential equations [MSC 2020] 60G35 - Signal detection and filtering (aspects of stochastic processes) [MSC 2020] 93E11 - Filtering in stochastic control theory [MSC 2020] 49N10 - Linear-quadratic optimal control problems [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNICAMPANIA-SUN0124566 |
Wang, Guangchen | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|
Asymptotic chaos expansions in finance : theory and practice / David Nicolay |
Autore | Nicolay, David |
Pubbl/distr/stampa | London, : Springer, 2014 |
Descrizione fisica | XXII, 491 p. : ill. ; 24 cm |
Soggetto topico |
91Gxx - Actuarial science and mathematical finance [MSC 2020]
60H15 - Stochastic partial differential equations (aspects of stochastic analysis) [MSC 2020] 35C20 - Asymptotic expansions of solutions to PDEs [MSC 2020] 41A60 - Asymptotic approximations, asymptotic expansions (steepest descent, etc.) [MSC 2020] 35B40 - Asymptotic behavior of solutions to PDEs [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G30 - Interest rates, asset pricing, etc. (stochastic models) [MSC 2020] 91G80 - Financial applications of other theories [MSC 2020] |
Soggetto non controllato |
Asymptotic Chaos Expansion
Asymptotic Expansion Baseline Transfer Basket Option CEV Model ESMM Model Class Endogenous Driver Exogenous Driver FL-SV Model Freezing Approximation IATM Point Immediate Smile Implied volatility Interest Rates Derivatives Ladder Effect Libor Market Model Local Volatility Model Calibration Moneyness Partial differential equations |
Formato | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Titolo uniforme | |
Record Nr. | UNICAMPANIA-VAN0102589 |
Nicolay, David | ||
London, : Springer, 2014 | ||
Materiale a stampa | ||
Lo trovi qui: Univ. Vanvitelli | ||
|