Occupation
发表于 2025-3-26 22:01:30
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百科全书
发表于 2025-3-27 01:25:59
Introduction,We discuss advantages of solving optimal control problems and defining nonlinear expectations by backward stochastic differential equations. We comment on applications of backward stochastic differential equations to pricing and hedging of liabilities and modelling of dynamic risk measures.
CRAFT
发表于 2025-3-27 05:36:37
Robert P. Benedict,Nicola A. Carlucciy processes, step processes and their jump measures are given. We investigate stochastic integrals with respect to Brownian motion and compensated random measures and we recall their properties. We discuss the weak property of predictable representation for local martingales. Equivalent probability
用肘
发表于 2025-3-27 11:02:00
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FIS
发表于 2025-3-27 16:00:24
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脾气暴躁的人
发表于 2025-3-27 18:14:14
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Intercept
发表于 2025-3-28 01:33:26
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adduction
发表于 2025-3-28 05:00:35
A. J. Gale,E. M. Sedgwick,R. Jacksonthe investment strategy under which the expected exponential utility of the insurer’s terminal wealth is maximized. We characterize the optimal value function of the optimization problem and the optimal investment strategy by a nonlinear BSDE. Next, we solve the exponential indifference pricing and
Interim
发表于 2025-3-28 06:32:28
https://doi.org/10.1007/978-94-011-1416-5ricing and hedging under model ambiguity. We find the hedging strategy which minimizes the expected terminal shortfall under a least favorable probability measure specifying the probability model for the risk factors and we set the price which offsets this worst shortfall. Next, we deal with no-good
珐琅
发表于 2025-3-28 12:31:02
S. J. Jones,M. Hetreed,N. J. Smithare modelled by .-expectations. We study properties of dynamic risk measures and we show that properties of dynamic risk measures are determined by the generator of the BSDE defining the .-expectation and the risk measure. We discuss methods for choosing the generator of a .-expectation. We also sol