From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics

AvYing Jiao

Inbunden, Engelska, 2020

Del i serien Mathematical Lectures from Peking University

334 kr

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2020-03-21
Mått:155 x 235 x 20 mm
Vikt:553 g
Format:Inbunden
Språk:Engelska
Serie:Mathematical Lectures from Peking University
Antal sidor:248
Förlag:Springer Verlag, Singapore
ISBN:9789811515750

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Mer om författaren

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.

Innehållsförteckning

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.