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

Publisher: 
Springer
Number of Pages: 
288
Price: 
69.99
ISBN: 
9781447153306
Date Received: 
Tuesday, August 13, 2013
Reviewable: 
No
Include In BLL Rating: 
No
Łukasz Delong
Series: 
EAA Series
Publication Date: 
2013
Format: 
Paperback
Category: 
Monograph

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.

Publish Book: 
Modify Date: 
Tuesday, August 13, 2013

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