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Stochastics of Environmental and Financial Economics

2015-10-23 Science
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Release : 2015-10-23
Genre : Science
Kind : eBook
Book Rating : 250/5 ( reviews)

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Book Synopsis Stochastics of Environmental and Financial Economics by : Fred Espen Benth

Download or read book Stochastics of Environmental and Financial Economics written by Fred Espen Benth. This book was released on 2015-10-23. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Dynamic and Stochastic Approaches to the Environment and Economic Development

2008 Business & Economics
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Release : 2008
Genre : Business & Economics
Kind : eBook
Book Rating : 006/5 ( reviews)

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Book Synopsis Dynamic and Stochastic Approaches to the Environment and Economic Development by : Amitrajeet A. Batabyal

Download or read book Dynamic and Stochastic Approaches to the Environment and Economic Development written by Amitrajeet A. Batabyal. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of Amitrajeet A Batabyal's most important papers on the environment and economic development. This book's uniqueness stems from the fact that it uses novel modeling tools that are largely unfamiliar to economists to shed valuable light on contemporary problems at the interface of the environment and economic development.

Computation and Combinatorics in Dynamics, Stochastics and Control

2019-01-13 Mathematics
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Release : 2019-01-13
Genre : Mathematics
Kind : eBook
Book Rating : 939/5 ( reviews)

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Book Synopsis Computation and Combinatorics in Dynamics, Stochastics and Control by : Elena Celledoni

Download or read book Computation and Combinatorics in Dynamics, Stochastics and Control written by Elena Celledoni. This book was released on 2019-01-13. Available in PDF, EPUB and Kindle. Book excerpt: The Abel Symposia volume at hand contains a collection of high-quality articles written by the world’s leading experts, and addressing all mathematicians interested in advances in deterministic and stochastic dynamical systems, numerical analysis, and control theory. In recent years we have witnessed a remarkable convergence between individual mathematical disciplines that approach deterministic and stochastic dynamical systems from mathematical analysis, computational mathematics and control theoretical perspectives. Breakthrough developments in these fields now provide a common mathematical framework for attacking many different problems related to differential geometry, analysis and algorithms for stochastic and deterministic dynamics. In the Abel Symposium 2016, which took place from August 16-19 in Rosendal near Bergen, leading researchers in the fields of deterministic and stochastic differential equations, control theory, numerical analysis, algebra and random processes presented and discussed the current state of the art in these diverse fields. The current Abel Symposia volume may serve as a point of departure for exploring these related but diverse fields of research, as well as an indicator of important current and future developments in modern mathematics.

Ambit Stochastics

2018-11-01 Mathematics
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Release : 2018-11-01
Genre : Mathematics
Kind : eBook
Book Rating : 291/5 ( reviews)

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Book Synopsis Ambit Stochastics by : Ole E. Barndorff-Nielsen

Download or read book Ambit Stochastics written by Ole E. Barndorff-Nielsen. This book was released on 2018-11-01. Available in PDF, EPUB and Kindle. Book excerpt: Drawing on advanced probability theory, Ambit Stochastics is used to model stochastic processes which depend on both time and space. This monograph, the first on the subject, provides a reference for this burgeoning field, complete with the applications that have driven its development. Unique to Ambit Stochastics are ambit sets, which allow the delimitation of space-time to a zone of interest, and ambit fields, which are particularly well-adapted to modelling stochastic volatility or intermittency. These attributes lend themselves notably to applications in the statistical theory of turbulence and financial econometrics. In addition to the theory and applications of Ambit Stochastics, the book also contains new theory on the simulation of ambit fields and a comprehensive stochastic integration theory for Volterra processes in a non-semimartingale context. Written by pioneers in the subject, this book will appeal to researchers and graduate students interested in empirical stochastic modelling.

Stochastic Models for Prices Dynamics in Energy and Commodity Markets

2023-11-16 Mathematics
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Release : 2023-11-16
Genre : Mathematics
Kind : eBook
Book Rating : 673/5 ( reviews)

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Book Synopsis Stochastic Models for Prices Dynamics in Energy and Commodity Markets by : Fred Espen Benth

Download or read book Stochastic Models for Prices Dynamics in Energy and Commodity Markets written by Fred Espen Benth. This book was released on 2023-11-16. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipović space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.

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