From Probability to Finance
Lecture Notes of BICMR Summer School on Financial Mathematics
(Sprache: Englisch)
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,...
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Klappentext zu „From Probability to Finance “
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.
Inhaltsverzeichnis zu „From Probability to Finance “
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.
Autoren-Porträt
Ying Jiao is a professor of applied mathematics at University of Lyon in France. Her research interests include mathematical finance, general theory of processes and enlargement of filtrations.
Bibliographische Angaben
- 2020, 1st ed. 2020, VII, 248 Seiten, 20 farbige Abbildungen, Maße: 15,9 x 24,2 cm, Gebunden, Englisch
- Herausgegeben: Ying Jiao
- Verlag: Springer, Berlin
- ISBN-10: 9811515751
- ISBN-13: 9789811515750
Sprache:
Englisch
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