By Łukasz Delong
Backward stochastic differential equations with jumps can be utilized to unravel difficulties in either finance and insurance.
Part I of this booklet provides the speculation of BSDEs with Lipschitz turbines pushed by means of a Brownian movement and a compensated random degree, with an emphasis on these generated via step strategies and Lévy procedures. It discusses key effects and strategies (including numerical algorithms) for BSDEs with jumps and reports filtration-consistent nonlinear expectancies and g-expectations. half I additionally makes a speciality of the mathematical instruments and proofs that are the most important for knowing the theory.
Part II investigates actuarial and fiscal purposes of BSDEs with jumps. It considers a common monetary and assurance version and bargains with pricing and hedging of assurance equity-linked claims and asset-liability administration difficulties. It also investigates ideal hedging, superhedging, quadratic optimization, software maximization, indifference pricing, ambiguity danger minimization, no-good-deal pricing and dynamic threat measures. half III provides another worthy periods of BSDEs and their applications.
This ebook will make BSDEs extra obtainable to people who have an interest in making use of those equations to actuarial and fiscal difficulties. it is going to be important to scholars and researchers in mathematical finance, hazard measures, portfolio optimization in addition to actuarial practitioners.
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Extra resources for Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps (EAA Series)
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications: BSDEs with Jumps (EAA Series) by Łukasz Delong