EAA Series

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

BSDEs with Jumps

Authors: Delong, Łukasz

  • Contains the most recent advances in BSDEs
  • Applies BSDEs with jumps to insurance and finance
  • Full notation and results are given, followed by applications
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eBook 41,64 €
price for Spain (gross)
  • ISBN 978-1-4471-5331-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 51,99 €
price for Spain (gross)
  • ISBN 978-1-4471-5330-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Rent the ebook  
  • Rental duration: 1 or 6 month
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  • can be used across all devices
About this Textbook

Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance.

Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory.

Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications.

This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners.

Reviews

From the book reviews:

“The book presents a self-contained overview of the modern state of the theory of backward stochastic differential equations (BSDEs) for jump-diffusion random processes and aims to show applications of the theory to financial and actuarial problems. … useful to both students and researchers in applied probability dealing with actuarial and financial problems.” (Ya. I. Bīlopol's'ka, Mathematical Reviews, June, 2014)


Table of contents (14 chapters)

  • Introduction

    Delong, Łukasz

    Pages 1-9

    Preview Buy Chapter 30,19 €
  • Stochastic Calculus

    Delong, Łukasz

    Pages 13-35

    Preview Buy Chapter 30,19 €
  • Backward Stochastic Differential Equations—The General Case

    Delong, Łukasz

    Pages 37-78

    Preview Buy Chapter 30,19 €
  • Forward-Backward Stochastic Differential Equations

    Delong, Łukasz

    Pages 79-99

    Preview Buy Chapter 30,19 €
  • Numerical Methods for FBSDEs

    Delong, Łukasz

    Pages 101-111

    Preview Buy Chapter 30,19 €

Buy this book

eBook 41,64 €
price for Spain (gross)
  • ISBN 978-1-4471-5331-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 51,99 €
price for Spain (gross)
  • ISBN 978-1-4471-5330-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
Book Subtitle
BSDEs with Jumps
Authors
Series Title
EAA Series
Copyright
2013
Publisher
Springer-Verlag London
Copyright Holder
Springer-Verlag London
eBook ISBN
978-1-4471-5331-3
DOI
10.1007/978-1-4471-5331-3
Softcover ISBN
978-1-4471-5330-6
Series ISSN
1869-6929
Edition Number
1
Number of Pages
X, 288
Topics