Ying Jiao
Springer Nature Singapore
e druk, 2020
9789811515750
From Probability to Finance
Lecture Notes of BICMR Summer School on Financial Mathematics
Specificaties
Gebonden, blz.
|
Engels
Springer Nature Singapore |
e druk, 2020
ISBN13: 9789811515750
Rubricering
Onderdeel van serie
Mathematical Lectures from Peking University
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9789811515750
Taal:Engels
Bindwijze:gebonden
Uitgever:Springer Nature Singapore
Inhoudsopgave
<div>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.</div>