From Probability to Finance
Lecture Notes of BICMR Summer School on Financial Mathematics
1st Edition
Published on 20. March 2020
VII, 248 pages
978-981-15-1576-7 (ISBN)
Description
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.
This book will be helpful for students and those who work on probability and financial mathematics.
More details
Series
Language
English
Place of publication
Singapore
Singapore
Publishing group
Springer Singapore
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
VII, 248 p. 25 illus., 20 illus. in color.
File size
4,17 MB
ISBN-13
978-981-15-1576-7 (9789811515767)
DOI
10.1007/978-981-15-1576-7
Schweitzer Classification
Other editions
Additional editions
Book
03/2020
Springer
€53.49
Shipment within 3-4 weeks
Person
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.
Content
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 St
é
phane Cr
é
pey:
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes.
