Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: Bsdes with Jumps (Paperback) (ISBN-13: 9781447153306)

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
ISBN-10: 1447153308
ISBN-13: 9781447153306
Publisher: Springer
Language: English
Published: 06/25/2013
Pages: 288
Format: Paperback
Weight: 0.93lbs
Size: 9.21h x 6.14w x 0.63d