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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| Главный автор: | |
|---|---|
| Формат: | Livre numérique |
| Язык: | Anglais |
| Опубликовано: |
London :
Springer London
2013.
Cham : Springer Nature |
| Серии: | EAA Series
|
| Online-ссылка: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Примечание: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Backward stochastic differential equations with jumps and their actuarial and financial applications, BSDEs with jumps, Łukasz Delong, London, Springer-Verlag, 2013, 1 vol. (X-288 p.), EAA series, 1-447-15330-8 |
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| 100 | 1 | |a Delong, Łukasz. | |
| 245 | 1 | 0 | |a Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : |b BSDEs with Jumps |c by Łukasz Delong. |
| 260 | |a London : |b Springer London. | ||
| 260 | |a Cham : |b Springer Nature, |c 2013. | ||
| 490 | 0 | |a EAA Series |x 1869-6929 | |
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 505 | 1 | |a 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 | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners | ||
| 776 | 0 | |0 190947721 |t Backward stochastic differential equations with jumps and their actuarial and financial applications |o BSDEs with jumps |f Łukasz Delong |c London |n Springer-Verlag |d 2013 |p 1 vol. (X-288 p.) |s EAA series |z 1-447-15330-8 | |
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