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 provides the idea of BSDEs with Lipschitz turbines pushed by way of a Brownian movement and a compensated random degree, with an emphasis on these generated by way of step procedures and Lévy strategies. It discusses key effects and strategies (including numerical algorithms) for BSDEs with jumps and reviews filtration-consistent nonlinear expectancies and g-expectations. half I additionally specializes in the mathematical instruments and proofs that are an important for realizing the theory.
Part II investigates actuarial and fiscal purposes of BSDEs with jumps. It considers a basic monetary and assurance version and bargains with pricing and hedging of coverage equity-linked claims and asset-liability administration difficulties. It also investigates ideal hedging, superhedging, quadratic optimization, software maximization, indifference pricing, ambiguity hazard minimization, no-good-deal pricing and dynamic probability measures. half III provides another worthwhile sessions of BSDEs and their applications.
This e-book will make BSDEs extra available to people who have an interest in employing those equations to actuarial and fiscal difficulties. it will likely be important to scholars and researchers in mathematical finance, probability 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