From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics

Ying Jiao (Herausgeber)

Buch | Hardcover

248 Seiten

2020 | 1st ed. 2020
Springer Verlag, Singapore
978-981-15-1575-0 (ISBN)

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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.

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.

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.

Erscheinungsdatum	27.03.2020
Reihe/Serie	Mathematical Lectures from Peking University
Zusatzinfo	20 Illustrations, color; 5 Illustrations, black and white; VII, 248 p. 25 illus., 20 illus. in color.
Verlagsort	Singapore
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
ISBN-10	981-15-1575-1 / 9811515751
ISBN-13	978-981-15-1575-0 / 9789811515750
Zustand	Neuware