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From probability to finance : lecture notes of BICMR Summer School on Financial Mathematics / Ying Jiao, editor

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Mathematical Lectures from Peking University | Springer eBook CollectionPublisher: Singapore : Springer Nature Singapore, [2020]Publisher: Singapore : Imprint: Springer, [2020]Copyright date: © 2020Description: 1 Online-Ressource (VII, 248 Seiten) : IllustrationenISBN:
  • 9789811515767
Subject(s): Genre/Form: Additional physical formats: 9789811515750 | 9789811515774 | 9789811515781 | Erscheint auch als: 9789811515750 Druck-Ausgabe | Erscheint auch als: 9789811515774 Druck-Ausgabe | Erscheint auch als: 9789811515781 Druck-AusgabeDOI: DOI: 10.1007/978-981-15-1576-7Online resources: Summary: 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.Summary: 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. .PPN: PPN: 1694058247Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SMA | ZDB-2-SXMS
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