Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: Bsdes with Jumps by DeLong, Lukasz
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Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: Bsdes with Jumps by DeLong, Lukasz

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: Bsdes with Jumps

Springer
Price:
$78.74

Description

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.

Author: Lukasz DeLong
Publisher: Springer
Published: 06/25/2013
Pages: 288
Binding Type: Paperback
Weight: 0.93lbs
Size: 9.21h x 6.14w x 0.63d
ISBN13: 9781447153306
ISBN10: 1447153308
BISAC Categories:
- Mathematics | Applied
- Business & Economics | Insurance | General
- Mathematics | Probability & Statistics | General