By Łukasz Delong
Backward stochastic differential equations with jumps can be utilized to resolve difficulties in either finance and insurance.
Part I of this booklet offers 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 means of step techniques and Lévy procedures. 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 specializes in the mathematical instruments and proofs that are the most important for knowing the theory.
Part II investigates actuarial and fiscal functions of BSDEs with jumps. It considers a common monetary and coverage version and bargains with pricing and hedging of coverage equity-linked claims and asset-liability administration difficulties. It also investigates excellent hedging, superhedging, quadratic optimization, software maximization, indifference pricing, ambiguity danger minimization, no-good-deal pricing and dynamic danger measures. half III offers another valuable sessions of BSDEs and their applications.
This booklet will make BSDEs extra obtainable to people who have an interest in using those equations to actuarial and monetary difficulties. will probably be priceless to scholars and researchers in mathematical finance, threat measures, portfolio optimization in addition to actuarial practitioners.
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Additional info 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