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

Łukasz Delong
Publisher: 
Springer
Publication Date: 
2013
Number of Pages: 
288
Format: 
Paperback
Series: 
EAA Series
Price: 
69.99
ISBN: 
9781447153306
Category: 
Monograph
We do not plan to review this book.

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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