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

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.  

Cuprins

Zenghu Li: Continuous-state branching processes with immigration.- 
Christophette Blanchet-Scalliet and Monique Jeanblanc: Enlargement of filtration in discrete time.- 
Guillaume Bernis and Simone Scotti: Clustering Effects via Hawkes Processes.- 
Jingping Yang, Fang Wang and Zongkai Xie: Bernstein Copulas and Composite Bernstein Copulas.- 
Claudio Albanese, Marc Chataigner and St
é
phane Cr
é
pey: Wealth Transfers, Indifference Pricing, and XVA Compression Schemes.

Despre autor

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.