Financial Modeling A Backward Stochastic Differential Equations Perspective /

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Al...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Crepey, Stephane (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Edición:1st ed. 2013.
Colección:Springer Finance Textbooks,
Temas:
Mathematics-Data processing.
Social sciences-Mathematics.
Differential equations.
Computational Science and Engineering.
Mathematics in Business, Economics and Finance.
Differential Equations.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Part I: An Introductory Course in Stochastic Processes
  • 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes
  • 3.Elements of Stochastic Analysis
  • Part II: Pricing Equations
  • 4.Martingale Modeling
  • 5.Benchmark Models
  • Part III: Numerical Solutions
  • 6.Monte Carlo Methods
  • 7.Tree Methods
  • 8.Finite Differences
  • 9.Callibration Methods
  • Part IV: Applications
  • 10.Simulation/ Regression Pricing Schemes in Diffusive Setups
  • 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups
  • Part V: Jump-Diffusion Setup with Regime Switching (**)
  • 12.Backward Stochastic Differential Equations
  • 13.Analytic Approach
  • 14.Extensions
  • Part VI: Appendix
  • A.Technical Proofs (**)
  • B.Exercises
  • C.Corrected Problem Sets.

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