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

BSDEs with Jumps

Business & Finance, Industries & Professions, Insurance, Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications by Łukasz Delong, Springer London
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Łukasz Delong ISBN: 9781447153313
Publisher: Springer London Publication: June 12, 2013
Imprint: Springer Language: English
Author: Łukasz Delong
ISBN: 9781447153313
Publisher: Springer London
Publication: June 12, 2013
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer London

Cover of the book End-of-Life Care in Cardiovascular Disease by Łukasz Delong
Cover of the book Model-Based Fault Diagnosis Techniques by Łukasz Delong
Cover of the book Autonomous Intelligent Vehicles by Łukasz Delong
Cover of the book Hydrogen Fuel Cells for Road Vehicles by Łukasz Delong
Cover of the book Coronary Artery Disease by Łukasz Delong
Cover of the book Introduction to Computer Graphics by Łukasz Delong
Cover of the book Personas - User Focused Design by Łukasz Delong
Cover of the book Disorders of the Hand by Łukasz Delong
Cover of the book External Fixation in Orthopedic Traumatology by Łukasz Delong
Cover of the book Pancreatic Disease by Łukasz Delong
Cover of the book Energy, Transport, & the Environment by Łukasz Delong
Cover of the book Annals of Industrial Engineering 2012 by Łukasz Delong
Cover of the book Fatigue of Fiber-reinforced Composites by Łukasz Delong
Cover of the book Building Corporate IQ – Moving the Energy Business from Smart to Genius by Łukasz Delong
Cover of the book Guide to Reliable Internet Services and Applications by Łukasz Delong
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy