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Stochastics of environmental and financial economics [electronic resource] : Centre of Advanced Study, Oslo, Norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.

Benth, Fred Espen. editor.; Di Nunno, Giulia. editor.
2016
Q295
Available Online
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Title
Stochastics of environmental and financial economics [electronic resource] : Centre of Advanced Study, Oslo, Norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.
ISBN
9783319234250 (electronic book)
3319234250 (electronic book)
9783319234243
3319234242
DOI
https://doi.org/10.1007/978-3-319-23425-0
Published
Cham : Springer, 2016.
Language
English
Description
1 online resource (viii, 360 pages) : illustrations.
Item Number
10.1007/978-3-319-23425-0 doi
Call Number
Q295
Dewey Decimal Classification
519
Summary
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℗ℓcover the areas℗ℓof℗ℓstochastic modeling℗ℓin energy and financial markets;℗ℓrisk management with environmental factors from a stochastic control perspective; and℗ℓvaluation and hedging of derivatives℗ℓin 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 ℓ́ℓStochastics of Environmental and Financial Economics (SEFE)ℓ́ℓ, being℗ℓpart of the activity in the SEFE research group of℗ℓthe Centre of Advanced Study (CAS)℗ℓat the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.
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text file PDF
Added Author
Benth, Fred Espen. editor.
Di Nunno, Giulia. editor.
Series
Springer proceedings in mathematics & statistics ; 138.
Available in Other Form
Print version: 9783319234243
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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.

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