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...
Gardado en:
| Autor Principal: | |
|---|---|
| Formato: | Livre numérique |
| Idioma: | Anglais |
| Publicado: |
London :
Springer London
2013.
Cham : Springer Nature |
| Series: | EAA Series
|
| Acceso en liña: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
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 |
Table des matières:
- 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