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Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications BSDEs with Jumps

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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Bibliographic Details
Main Author: Delong, Łukasz
Format: eBook
Language:English
Published: London Springer London 2013, 2013
Edition:1st ed. 2013
Series:EAA Series
Subjects:
Mathematics In Business, Economics And Finance
Continuous Optimization
Actuarial Science
Probability Theory
Social Sciences / Mathematics
Actuarial Mathematics
Mathematical Optimization
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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

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