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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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Bibliographic Details
Main Author: Delong, Aukasz. (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic
Language:English
Published: London : Springer London : Imprint: Springer, 2013.
Series:EAA Series,
Subjects:
Mathematics.
Finance.
Distribution (Probability theory).
Quantitative Finance.
Actuarial Sciences.
Continuous Optimization.
Probability Theory and Stochastic Processes.
Online Access:https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-1-4471-5331-3
Table of Contents:
  • Introduction
  • Stochastic Calculus
  • Backward Stochastic Differential Equations <U+0013> 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.

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