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From Probability to Finance

Lecture Notes of BICMR Summer School on Financial Mathematics

  • Book
  • © 2020

Overview

Editors:
  1. Ying Jiao

    1. Institut de Science Financière et d’Assurances, Université Claude Bernard Lyon 1, Lyon, France

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  • Offers latest advances in both theory and applications in probability and financial mathematics
  • Provides innovations from world-leading specialists
  • Collects lecture notes of BICMR Summer School of Financial Mathematics

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

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Table of contents (5 chapters)

  1. Front Matter

    Pages i-vii
    Download chapter PDF

  2. Continuous-State Branching Processes with Immigration

    • Zenghu Li
    Pages 1-69

  3. Enlargement of Filtration in Discrete Time

    • Christophette Blanchet-Scalliet, Monique Jeanblanc
    Pages 71-144

  4. Clustering Effects via Hawkes Processes

    • Guillaume Bernis, Simone Scotti
    Pages 145-181

  5. Bernstein Copulas and Composite Bernstein Copulas

    • Jingping Yang, Fang Wang, Zongkai Xie
    Pages 183-217

  6. Wealth Transfers, Indifference Pricing, and XVA Compression Schemes

    • Claudio Albanese, Marc Chataigner, Stéphane Crépey
    Pages 219-248
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Keywords

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.  

Editors and Affiliations

  • Institut de Science Financière et d’Assurances, Université Claude Bernard Lyon 1, Lyon, France

    Ying Jiao

About the editor

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.

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