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© 2020

From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics

  • Ying Jiao
Book

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

Introduction

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. 

Keywords

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

About the editors

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.

Bibliographic information

  • Book Title From Probability to Finance
  • Book Subtitle Lecture Notes of BICMR Summer School on Financial Mathematics
  • Editors Ying Jiao
  • Series Title Mathematical Lectures from Peking University
  • Series Abbreviated Title Mathematical Lectures from PKU
  • DOI https://doi.org/10.1007/978-981-15-1576-7
  • Copyright Information Springer Nature Singapore Pte Ltd. 2020
  • Publisher Name Springer, Singapore
  • eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
  • Hardcover ISBN 978-981-15-1575-0
  • Softcover ISBN 978-981-15-1578-1
  • eBook ISBN 978-981-15-1576-7
  • Series ISSN 2197-4209
  • Series E-ISSN 2197-4217
  • Edition Number 1
  • Number of Pages VII, 248
  • Number of Illustrations 5 b/w illustrations, 20 illustrations in colour
  • Topics Applications of Mathematics
    Probability Theory and Stochastic Processes
  • Buy this book on publisher's site