From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics

AvYing Jiao

Häftad, Engelska, 2021

Del i serien Mathematical Lectures from Peking University

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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.

Produktinformation

Utgivningsdatum:2021-03-21
Mått:155 x 235 x 15 mm
Vikt:394 g
Format:Häftad
Språk:Engelska
Serie:Mathematical Lectures from Peking University
Antal sidor:248
Förlag:Springer Verlag, Singapore
ISBN:9789811515781

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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.