Stochastics of Environmental and Financial Economics : Centre of Advanced Study, Oslo, Norway, 2014-2015 / edited by Fred Espen Benth, Giulia Di Nunno.

Format:

Book

Author/Creator:

Benth, Fred Espen, Editor.

Contributor:

Benth, Fred Espen., Editor.

Di Nunno, Giulia, Editor.

Series:

Springer Proceedings in Mathematics & Statistics, 2194-1017 ; 138

Language:

English

Subjects (All):

System theory.

Control theory.

Probabilities.

Environmental economics.

Game theory.

Differential equations.

Mathematical optimization.

Calculus of variations.

Systems Theory, Control.

Probability Theory.

Environmental Economics.

Game Theory.

Differential Equations.

Calculus of Variations and Optimization.

Local Subjects:

Systems Theory, Control.

Probability Theory.

Environmental Economics.

Game Theory.

Differential Equations.

Calculus of Variations and Optimization.

Physical Description:

1 online resource (VIII, 360 p.)

Edition:

1st ed. 2016.

Place of Publication:

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

Language Note:

English

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.

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.

Notes:

Bibliographic Level Mode of Issuance: Monograph

CC BY-NC

ISBN:

9783319234250

3319234250

OCLC:

1066188258