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...
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Full Text (via Springer) |
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Main Author: | |
Format: | eBook |
Language: | English |
Published: |
London ; New York :
Springer,
©2013.
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Series: | EAA Series.
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Subjects: |
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.