Financial Modeling A Backward Stochastic Differential Equations Perspective /

Financial Modeling A Backward Stochastic Differential Equations Perspective /

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Al...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Crépey, Stéphane (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
Σειρά:Springer Finance,
Θέματα:
Mathematics.
Partial differential equations.
Economics, Mathematical.
Computer mathematics.
Computational Science and Engineering.
Quantitative Finance.
Partial Differential Equations.
Διαθέσιμο Online:Full Text via HEAL-Link
Πίνακας περιεχομένων:
  • Part I: An Introductory Course in Stochastic Processes
  • 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes
  • 3.Elements of Stochastic Analysis
  • Part II: Pricing Equations
  • 4.Martingale Modeling
  • 5.Benchmark Models
  • Part III: Numerical Solutions
  • 6.Monte Carlo Methods
  • 7.Tree Methods
  • 8.Finite Differences
  • 9.Callibration Methods
  • Part IV: Applications
  • 10.Simulation/ Regression Pricing Schemes in Diffusive Setups
  • 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups
  • Part V: Jump-Diffusion Setup with Regime Switching (**)
  • 12.Backward Stochastic Differential Equations
  • 13.Analytic Approach
  • 14.Extensions
  • Part VI: Appendix
  • A.Technical Proofs (**)
  • B.Exercises
  • C.Corrected Problem Sets.

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