From Probability to Finance: Lecture Notes of BICMR Summer School on Financial Mathematics

Author(s): Ying Jiao (editor)

Series: Mathematical Lectures from Peking University

Publisher: Springer Nature, Year: 2020

ISBN: 9811515751,9789811515750

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Description:
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.