Stochastics of environmental and financial economics : Centre of Advanced Study, Oslo, Norway, 2014-2015 /: Centre of Advanced Study, Oslo, Norway, 2014-2015. (2015)

• Record Type: Book
• Further Information: Note: Edited by Fred Espen Benth, Giulia Di Nunno.
• Editors: Benth, Fred Espen, 1969-; Di Nunno, Giulia
• Other Names: Conference on Stochastics of Environmental and Financial Economics, 1st
• Contents: 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.
• Publisher Details: Cham : Springer
• Publication Date: 2015
• Copyright Date: 2016
• Extent: 1 online resource (360 pages)
• Subjects: 332.01176; Finance -- Mathematical models -- Congresses; Environmental economics -- Mathematical models -- Congresses; Stochastic processes -- Congresses
• Languages: English
• ISBNs: 9783319234250
• Related ISBNs: 9783319234243
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.