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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| Format: | eBook |
| Language: | English |
| Published: |
London
Springer London Imprint: Springer,
2013.
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| Series: | EAA Series,
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| Online Access: | Click here to view the full text content |
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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.