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Umfang: 1 online resource (362 pages)

ISBN: 9783319234250

Serie: Springer Proceedings in Mathematics and Statistics Ser. ; v.138

Anmerkung: Intro -- Preface -- Contents -- Part I Foundations -- Some Recent Developments in Ambit Stochastics -- 1 Introduction -- 2 Ambit Stochastics -- 2.1 General Framework -- 2.2 Existence of Ambit Fields -- 3 Illustrative Examples -- 3.1 BSS and LSS Processes -- 3.2 Trawl Processes -- 4 Modelling of Volatility/Intermittency/Energy Dissipation -- 4.1 The Energy Dissipation -- 4.2 Realised Relative Volatility/Intermittency/Energy Dissipation -- 4.3 Role of Selfdecomposability -- 5 Time Change and Universality in Turbulence and Finance -- 5.1 Distributional Collapse -- 5.2 A First Look at Financial Data from SP500 -- 5.3 Modelling Turbulent Velocity Time Series -- 6 Conclusion and Outlook -- References -- Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion -- 1 Introduction -- 2 Functional Itô Calculus: A Regularization Approach -- 2.1 Background: Finite Dimensional Calculus via Regularization -- 2.2 The Spaces mathscrC([-T,0]) and mathscrC([-T,0[) -- 2.3 Functional Derivatives and Functional Itô's Formula -- 2.4 Comparison with Banach Space Valued Calculus via Regularization -- 3 Strong-Viscosity Solutions to Path-Dependent PDEs -- 3.1 Strict Solutions -- 3.2 Towards a Weaker Notion of Solution: A Significant Hedging Example -- 3.3 Strong-Viscosity Solutions -- References -- Nonlinear Young Integrals via Fractional Calculus -- 1 Introduction -- 2 Fractional Integrals and Derivatives -- 3 Nonlinear Integral -- 4 Iterated Nonlinear Integral -- References -- A Weak Limit Theorem for Numerical Approximation of Brownian Semi-stationary Processes -- 1 Introduction -- 2 Basic Assumptions and Fourier Approximation Scheme -- 3 A Weak Limit Theorem for the Fourier Approximation Scheme -- References -- Non-elliptic SPDEs and Ambit Fields: Existence of Densities -- 1 Introduction. , 2 Nonelliptic Diffusion Coefficients -- 3 Ambit Random Fields -- 3.1 Two Auxiliary Results -- 3.2 Existence of Density -- References -- Part II Applications -- Dynamic Risk Measures and Path-Dependent Second Order PDEs -- 1 Introduction -- 2 Solution of Path-dependent PDEs -- 2.1 Topology and Regularity Properties -- 2.2 Regular Solution -- 2.3 Viscosity Solutions on the Set of Càdlàg Paths -- 2.4 Viscosity Solution on the Set of Continuous Paths -- 3 Path-dependent Martingale Problem -- 3.1 The Role of Continuous Paths -- 4 Stable Set of Probability Measures Solution to a Path-dependent Martingale Problem -- 4.1 Multivalued Mapping and Continuous Selector -- 4.2 Stable Set of Probability Measures Associated to a Multivalued Mapping -- 5 Construction of Penalties -- 6 Time Consistent Dynamic Risk Measures Associated to Path-dependent Martingale Problems -- 6.1 Normalized Time-Consistent Convex Dynamic Risk Measures -- 6.2 General Time-Consistent Convex Dynamic Risk Measures -- 7 Strong Feller Property -- 7.1 Feller Property for Continuous Parameters -- 7.2 Feller Property for the Dynamic Risk Measure -- 8 Existence of Viscosity Solutions for Path-dependent PDEs -- 8.1 Existence of Viscosity Supersolutions -- 8.2 Existence of Viscosity Subsolutions -- 8.3 Existence of Viscosity Solutions on the Set of Continuous Paths -- 9 Conclusion and Perspectives -- References -- Pricing CoCos with a Market Trigger -- 1 Introduction -- 2 The Pricing Problem -- 2.1 A Model-Free Formula for the CoCo Price -- 2.2 Pricing CoCos with Write-Down -- 3 A Model with Stochastic Interest Rates -- 3.1 The Black-Scholes Model and the Greeks -- 4 Advanced Models -- 4.1 Incorporating the Heston Stochastic Volatility Model -- 4.2 An Exponential Lévy Model -- 5 Triggering Conversion Under Short-Term Uncertainty. , 5.1 Pricing CoCos on a Black-Scholes Model Under Short-term Uncertainty -- 5.2 Coupon Cancellation Probabilities Under Short-Term Uncertainty -- 6 Extension Risk -- References -- Quantification of Model Risk in Quadratic Hedging in Finance -- 1 Introduction -- 2 Quadratic Hedging Strategies in a Martingale Setting for Two Geometric Lévy Stock Price Models -- 3 Robustness of the Quadratic Hedging Strategies -- 3.1 Robustness of the Martingale Measures -- 3.2 Robustness of the BSDEJ -- 3.3 Robustness of the Risk-Minimising Strategy -- 3.4 Robustness Results for the Mean-Variance Hedging -- 4 Conclusion -- References -- Risk-Sensitive Mean-Field Type Control Under Partial Observation -- 1 Introduction -- 2 Statement of the Problem -- 3 Proof of the Main Result -- 3.1 An Intermediate SMP for Mean-Field Type Control -- 3.2 Transformation of the First Order Adjoint Process -- 3.3 Risk-Sensitive Stochastic Maximum Principle -- 4 Illustrative Example: Linear-Quadratic Risk-Sensitive Model Under Partial Observation -- References -- Risk Aversion in Modeling of Cap-and-Trade Mechanism and Optimal Design of Emission Markets -- 1 Practice of the EU ETS -- 2 Theory of Marketable Pollution Rights -- 3 One-Period Equilibrium of Emission Market -- 4 Properties of Equilibrium -- 5 Social Optimality -- 6 Equilibrium-Like Risk-Neutral Modeling -- 6.1 Market Equilibrium Under a Risk-Neutral Measure -- 7 Conclusions -- References -- Exponential Ergodicity of the Jump-Diffusion CIR Process -- 1 Introduction -- 2 Preliminaries -- 2.1 Special Case (i): ν= 0, No Jumps -- 2.2 Special Case (ii): θ=0 and x=0 -- 3 A Lower Bound for the Transition Densities of JCIR -- 4 Exponential Ergodicity of JCIR -- References -- Optimal Control of Predictive Mean-Field Equations and Applications to Finance -- 1 Introduction -- 2 Formulation of the Problem. , 3 Solution Methods for the Stochastic Control Problem -- 3.1 A Sufficient Maximum Principle -- 3.2 A Necessary Maximum Principle -- 4 Existence and Uniqueness of Predictive Mean-Field Equations -- 5 Applications -- 5.1 Optimal Portfolio in an Insider Influenced Market -- 5.2 Predictive Recursive Utility Maximization -- References -- Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes -- 1 Introduction -- 2 Exploratory Data Analysis -- 2.1 Description of the Data -- 2.2 EEX Phelix Baseload Prices -- 2.3 Predicted Wind Energy Feed-In -- 2.4 Wind Penetration Index -- 2.5 The Relation Between Prices and Wind Data -- 3 Model Building -- 3.1 Deseasonalising the Data -- 3.2 Fitting a CARMA Process -- 3.3 The New Model Based on a Regime-Switching LSS Process -- 3.4 Model for M Based on the Generalised Hyperbolic Distribution -- 4 Conclusion -- References -- Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model -- 1 Introduction -- 2 Univariate EUA Pricing Model and Parameter Estimation -- 2.1 Univariate Model -- 2.2 Estimation -- 3 Bivariate Pricing Model for EUA -- 3.1 Model Description -- 3.2 Calibration to Historical Data -- 4 Option Pricing and Market Forward Looking Information -- 5 Conclusion -- References.

Weitere Ausg.: Print version: Benth, Fred Espen Stochastics of Environmental and Financial Economics Cham : Springer International Publishing AG,c2015 ISBN 9783319234243

Sprache: Englisch

Schlagwort(e): Electronic books. ; Electronic books. ; Aufsatzsammlung

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Umfang: 1 online resource (VIII, 360 p.)

Ausgabe: 1st ed. 2016.

ISBN: 9783319234250 , 3319234250

Serie: Springer Proceedings in Mathematics & Statistics, 138

Inhalt: These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Anmerkung: Bibliographic Level Mode of Issuance: Monograph , Some recent developments in ambit stochastics -- Functional and Banach space stochastic calculi. Path-dependent Kolmogorov equations associated with the frame of a Brownian motion -- Nonlinear Young integrals via fractional calculus -- A weak limit theorem for numerical approximation of Brownian semi-stationary processes -- Non-elliptic SPDEs and ambit fields: existence of densities -- Dynamic risk measures and path-dependent second order PDEs -- Pricing CoCos with a market trigger -- Quantification of model risk in quadratic hedging in finance -- Risk-sensitive mean-field type control under partial observation -- Risk aversion in modeling of cap-and-trade mechanism and optimal design of emission markets -- Exponential ergodicity of the jump-diffusion CIR process -- Optimal control of predictive mean-field equations and applications to finance -- Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes -- Pricing options on EU ETS certificates with a time-varying market price of risk model. , English

Weitere Ausg.: ISBN 9783319234243

Weitere Ausg.: ISBN 3319234242

Sprache: Englisch

DOI: 10.1007/978-3-319-23425-0

URL: http://dx.doi.org/10.1007/978-3-319-23425-0

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Umfang: 1 Online-Ressource (360 p.)

ISBN: 9783319234250

Serie: Springer Proceedings in Mathematics & Statistics

Inhalt: Systems Theory, Control

Anmerkung: English

Sprache: Englisch

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Mehr zum Autor: Di Nunno, Giulia

Mehr zum Autor: Benth, Fred Espen

UID:

Umfang: 1 online resource (VIII, 360 p.)

Ausgabe: 1st ed. 2016.

ISBN: 3-319-23425-0

Serie: Springer Proceedings in Mathematics & Statistics, 138

Inhalt: These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year.

Anmerkung: Bibliographic Level Mode of Issuance: Monograph , Some recent developments in ambit stochastics -- Functional and Banach space stochastic calculi. Path-dependent Kolmogorov equations associated with the frame of a Brownian motion -- Nonlinear Young integrals via fractional calculus -- A weak limit theorem for numerical approximation of Brownian semi-stationary processes -- Non-elliptic SPDEs and ambit fields: existence of densities -- Dynamic risk measures and path-dependent second order PDEs -- Pricing CoCos with a market trigger -- Quantification of model risk in quadratic hedging in finance -- Risk-sensitive mean-field type control under partial observation -- Risk aversion in modeling of cap-and-trade mechanism and optimal design of emission markets -- Exponential ergodicity of the jump-diffusion CIR process -- Optimal control of predictive mean-field equations and applications to finance -- Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes -- Pricing options on EU ETS certificates with a time-varying market price of risk model. , English

Weitere Ausg.: ISBN 3-319-23424-2

Sprache: Englisch

DOI: 10.1007/978-3-319-23425-0

UID:

Umfang: 1 online resource (362 pages)

ISBN: 9783319234250 , 3319234250

Serie: Springer Proceedings in Mathematics and Statistics Ser. ; v. 138

Weitere Ausg.: Print version: Benth, Fred Espen. Stochastics of Environmental and Financial Economics : Centre of Advanced Study, Oslo, Norway, 2014-2015. Cham : Springer, ©2015 9783319234243

Sprache: Englisch

Schlagwort(e): Electronic books. ; Electronic books. ; Conference papers and proceedings.

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Umfang: viii, 360 Seiten , Illustrationen

ISBN: 9783319234243 , 9783319234250

Serie: Springer proceedings in mathematics & statistics volume 138

Weitere Ausg.: Erscheint auch als Online-Ausgabe ISBN 978-3-319-23424-3

Sprache: Englisch

Schlagwort(e): Stochastik ; Umweltschutz ; Finanzmathematik ; Aufsatzsammlung

Mehr zum Autor: Di Nunno, Giulia

Mehr zum Autor: Benth, Fred Espen

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Umfang: 1 Online-Ressource (VIII, 360 Seiten) , 31 Illustrationen (27 in Farbe)

Ausgabe: Reproduktion Springer eBook Collection. Mathematics and Statistics

ISBN: 9783319234250

Serie: Springer Proceedings in Mathematics & Statistics volume 138

Inhalt: These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems. The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance. The papers were presented at the first conference on “Stochastics of Environmental and Financial Economics (SEFE)”, being part of the activity in the SEFE research group of the Centre of Advanced Study (CAS) at the Academy of Sciences in Oslo, Norway during the 2014/2015 academic year

Anmerkung: Open Access , Some recent developments in ambit stochasticsFunctional and Banach space stochastic calculi. Path-dependent Kolmogorov equations associated with the frame of a Brownian motion -- Nonlinear Young integrals via fractional calculus -- A weak limit theorem for numerical approximation of Brownian semi-stationary processes -- Non-elliptic SPDEs and ambit fields: existence of densities -- Dynamic risk measures and path-dependent second order PDEs -- Pricing CoCos with a market trigger -- Quantification of model risk in quadratic hedging in finance -- Risk-sensitive mean-field type control under partial observation -- Risk aversion in modeling of cap-and-trade mechanism and optimal design of emission markets -- Exponential ergodicity of the jump-diffusion CIR process -- Optimal control of predictive mean-field equations and applications to finance -- Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes -- Pricing options on EU ETS certificates with a time-varying market price of risk model.

Weitere Ausg.: ISBN 9783319234243

Weitere Ausg.: Erscheint auch als Druck-Ausgabe ISBN 9783319234243

Weitere Ausg.: Erscheint auch als Druck-Ausgabe ISBN 9783319234267

Weitere Ausg.: Erscheint auch als Druck-Ausgabe ISBN 9783319370620

Sprache: Englisch

Schlagwort(e): Konferenzschrift

DOI: 10.1007/978-3-319-23425-0

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Mehr zum Autor: Di Nunno, Giulia

Mehr zum Autor: Benth, Fred Espen