Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications BSDEs with Jumps /

Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step proc...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Delong, Łukasz (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Springer London : Imprint: Springer, 2013.
Edición:1st ed. 2013.
Colección:EAA Series,
Temas:
Social sciences-Mathematics.
Actuarial science.
Mathematical optimization.
Probabilities.
Mathematics in Business, Economics and Finance.
Actuarial Mathematics.
Continuous Optimization.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Introduction
  • Stochastic Calculus
  • Backward Stochastic Differential Equations - the General Case
  • Forward-Backward Stochastic Differential Equations
  • Numerical Methods for FBSDEs
  • Nonlinear Expectations and g-Expectations
  • Combined Financial and Insurance Model
  • Linear BSDEs and Predictable Representations of Insurance Payment Processes
  • Arbitrage-Free Pricing, Perfect Hedging and Superhedging
  • Quadratic Pricing and Hedging
  • Utility Maximization and Indifference Pricing and Hedging
  • Pricing and Hedging under a Least Favorable Measure
  • Dynamic Risk Measures
  • Other Classes of BSDEs.

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