Ying Jiao
From Probability to Finance
Lecture Notes of BICMR Summer School on Financial Mathematics
Paperback Engels 2021 9789811515781
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
ISBN13:9789811515781
Taal:Engels
Bindwijze:paperback
Uitgever:Springer Nature Singapore
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
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>
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