| 期刊全称 | Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications | | 期刊简称 | BSDEs with Jumps | | 影响因子2023 | Łukasz Delong | | 视频video | | | 发行地址 | Contains the most recent advances in BSDEs.Applies BSDEs with jumps to insurance and finance.Full notation and results are given, followed by applications | | 学科分类 | EAA Series | | 图书封面 |  | | 影响因子 | .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 processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory..Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications..This book will make BSDEs more accessible to those who are interested in | | Pindex | Textbook 2013 |
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发表于 2025-3-21 17:40:10
