The Resource Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps, by Łukasz Delong, (electronic resource)

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps, by Łukasz Delong, (electronic resource)

Label
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps
Title
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
Title remainder
BSDEs with Jumps
Statement of responsibility
by Łukasz Delong
Creator
Contributor
Author
Provider
Subject
Language
eng
Summary
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 processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners
Member of
http://library.link/vocab/creatorName
Delong, Łukasz
Image bit depth
0
LC call number
HB135-147
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
SpringerLink
Series statement
EAA Series,
http://library.link/vocab/subjectName
  • Mathematics
  • Finance
  • Distribution (Probability theory)
  • Mathematics
  • Quantitative Finance
  • Actuarial Sciences
  • Continuous Optimization
  • Probability Theory and Stochastic Processes
Label
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps, by Łukasz Delong, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
X, 288 p.
File format
multiple file formats
Form of item
electronic
Isbn
9781447153313
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4471-5331-3
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-1-4471-5331-3
Label
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps, by Łukasz Delong, (electronic resource)
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
X, 288 p.
File format
multiple file formats
Form of item
electronic
Isbn
9781447153313
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4471-5331-3
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-1-4471-5331-3

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