From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics

  • Ying Jiao

Part of the Mathematical Lectures from Peking University book series (MLPKU)

Table of contents

  1. Front Matter
    Pages i-vii
  2. Christophette Blanchet-Scalliet, Monique Jeanblanc
    Pages 71-144
  3. Guillaume Bernis, Simone Scotti
    Pages 145-181
  4. Jingping Yang, Fang Wang, Zongkai Xie
    Pages 183-217
  5. Claudio Albanese, Marc Chataigner, Stéphane Crépey
    Pages 219-248

About this book


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. 


non-linear expectation risk measure enlargement of filtration XVA analysis copula models in finance branching processes mathematical finance stochastic process stochastic analysis risk menagement

Editors and affiliations

  • Ying Jiao
    • 1
  1. 1.Institut de Science Financière et d’AssurancesUniversité Claude Bernard Lyon 1LyonFrance

Bibliographic information

  • DOI
  • Copyright Information Springer Nature Singapore Pte Ltd. 2020
  • Publisher Name Springer, Singapore
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-981-15-1575-0
  • Online ISBN 978-981-15-1576-7
  • Series Print ISSN 2197-4209
  • Series Online ISSN 2197-4217
  • Buy this book on publisher's site