From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics
1. Auflage 2020
ISBN: 978-981-15-1575-0
Verlag: Springer Nature Singapore

Buch, Englisch, 248 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 553 g

Reihe: Mathematical Lectures from Peking University

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.

Zielgruppe

Research

Autoren/Hrsg.

Jiao, Ying

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse

Inhaltsverzeichnis

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.

Über Autor(innen)

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.