By Łukasz Delong

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

Part I of this ebook provides the idea of BSDEs with Lipschitz turbines pushed by means of a Brownian movement and a compensated random degree, with an emphasis on these generated by way of step techniques and Lévy procedures. It discusses key effects and methods (including numerical algorithms) for BSDEs with jumps and reviews 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 functions of BSDEs with jumps. It considers a normal monetary and assurance version and offers with pricing and hedging of coverage equity-linked claims and asset-liability administration difficulties. It also investigates ideal hedging, superhedging, quadratic optimization, application maximization, indifference pricing, ambiguity danger minimization, no-good-deal pricing and dynamic danger measures. half III offers another helpful periods of BSDEs and their applications.

This e-book will make BSDEs extra obtainable to people who have an interest in utilising those equations to actuarial and monetary difficulties. will probably be worthwhile to scholars and researchers in mathematical finance, danger 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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