Jiao From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics
1. Auflage 2020
ISBN: 978-981-15-1576-7
Verlag: Springer Singapore
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 248 Seiten, eBook

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

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.