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...
Salvato in:
| Autore principale: | |
|---|---|
| Natura: | Livre numérique |
| Lingua: | Anglais |
| Pubblicazione: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edizione: | 1st ed. 2013. |
| Serie: | Springer Finance Textbooks
|
| Soggetti: | |
| Accesso online: | 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: | • Financial Modeling, Texte imprimé, 9783642371141 • Financial Modeling, Texte imprimé, 9783642442520 • Financial modeling, a backward stochastic differential equations perspective, Stéphane Crépey, Heidelberg, Springer, 2013, 1 vol. (XIX-459 p.), Springer finance textbooks, 978-3-642-37112-7 |
Sommario:
- 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