Backward stochastic differential equations with jumps and their actuarial and financial applications : BSDEs with jumps /

Backward stochastic differential equations with jumps and their actuarial and financial applications : BSDEs with jumps / Łukasz Delong.

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...

Full description

Saved in:
Bibliographic Details
Online Access: Full Text (via Springer)
Main Author: Delong, Łukasz
Format: eBook
Language:English
Published: London ; New York : Springer, ©2013.
Series:EAA Series.
Subjects:
Stochastic differential equations.
Table of Contents:
  • Introduction
  • Backward Stochastic Differential Equations--The Theory. Stochastic Calculus
  • Backward Stochastic Differential Equations--The General Case
  • Forward-Backward Stochastic Differential Equations
  • Numerical Methods for FBSDEs
  • Nonlinear Expectations and g-Expectations
  • Backward Stochastic Differential Equations--The Applications. 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 Backward Stochastic Differential Equations Other Classes of BSDEs.

Similar Items