Backward Stochastic Differential Equations with Jumps and by Łukasz Delong PDF

By Łukasz Delong

Backward stochastic differential equations with jumps can be utilized to unravel difficulties in either finance and insurance.

Part I of this publication offers the speculation of BSDEs with Lipschitz turbines pushed through a Brownian movement and a compensated random degree, with an emphasis on these generated through step techniques and Lévy tactics. It discusses key effects and strategies (including numerical algorithms) for BSDEs with jumps and experiences filtration-consistent nonlinear expectancies and g-expectations. half I additionally makes a speciality of the mathematical instruments and proofs that are an important for knowing the theory.

Part II investigates actuarial and fiscal purposes of BSDEs with jumps. It considers a basic monetary and assurance version and offers with pricing and hedging of coverage equity-linked claims and asset-liability administration difficulties. It also investigates excellent hedging, superhedging, quadratic optimization, application maximization, indifference pricing, ambiguity hazard minimization, no-good-deal pricing and dynamic possibility measures. half III offers another necessary periods of BSDEs and their applications.

This booklet will make BSDEs extra available to people who have an interest in utilizing those equations to actuarial and fiscal difficulties. it is going to be worthy to scholars and researchers in mathematical finance, possibility measures, portfolio optimization in addition to actuarial practitioners.

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Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps (EAA Series) by Łukasz Delong

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