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

• Main Author: Delong, Łukasz (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Springer London : Imprint: Springer, 2013.
• Series: EAA Series,
• Subjects: Mathematics.; Economics, Mathematical.; Actuarial science.; Mathematical optimization.; Probabilities.; Quantitative Finance.; Actuarial Sciences.; Continuous Optimization.; Probability Theory and Stochastic Processes.

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...

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.