Financial Modeling A Backward Stochastic Differential Equations Perspective /

• Main Author: Crépey, Stéphane (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
• Series: Springer Finance,
• Subjects: Mathematics.; Partial differential equations.; Economics, Mathematical.; Computer mathematics.; Computational Science and Engineering.; Quantitative Finance.; Partial Differential Equations.

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...