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Book/Printed Material Stochastics of Environmental and Financial Economics : Centre of Advanced Study, Oslo, Norway, 2014-2015

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Title

  • Stochastics of Environmental and Financial Economics : Centre of Advanced Study, Oslo, Norway, 2014-2015

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 cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in 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 "Stochastics of Environmental and Financial Economics (SEFE)", being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Names

  • Benth, Fred Espen. editor
  • Di Nunno, Giulia. editor

Created / Published

  • Cham : Springer International Publishing : Imprint: Springer, 2016.

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.

Headings

  • -  Calculus of variations
  • -  Environmental economics
  • -  Game theory
  • -  Partial differential equations
  • -  Probabilities
  • -  System theory
  • -  Systems Theory, Control
  • -  Calculus of Variations and Optimal Control; Optimization
  • -  Environmental Economics
  • -  Game Theory, Economics, Social and Behav. Sciences
  • -  Partial Differential Equations
  • -  Probability Theory and Stochastic Processes

Notes

  • -  Description based on publisher-supplied MARC data.
  • -  Mathematics and Statistics (R0) (SpringerNature-43713)
  • -  Mathematics and Statistics (SpringerNature-11649)

Medium

  • 1 online resource (VIII, 360 pages)

Digital Id

Library of Congress Control Number

  • 2019757654

Rights Advisory

Access Advisory

  • Unrestricted online access

Online Format

  • image
  • epub

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Cite This Item

Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Benth, Fred Espen. Editor, and Giulia. Editor Di Nunno. Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, -2015. Cham: Springer International Publishing: Imprint: Springer, 2016. Image. https://aj.sunback.homes/item/2019757654/.

APA citation style:

Benth, F. E. E. & Di Nunno, G. E. (2016) Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, -2015. Cham: Springer International Publishing: Imprint: Springer. [Image] Retrieved from the Library of Congress, https://aj.sunback.homes/item/2019757654/.

MLA citation style:

Benth, Fred Espen. Editor, and Giulia. Editor Di Nunno. Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, -2015. Cham: Springer International Publishing: Imprint: Springer, 2016. Image. Retrieved from the Library of Congress, <aj.sunback.homes/item/2019757654/>.