Backward stochastic differential equations with jumps and their actuarial and financial applications: BSDEs with jumps
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Springer
2013
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| Schriftenreihe: | EAA series
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| Schlagworte: | |
| Online-Zugang: | BTU01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9781447153306 9781447153313 |
| DOI: | 10.1007/978-1-4471-5331-3 |
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Datensatz im Suchindex
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| adam_text | BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS AND THEIR
ACTUARIAL AND FINANCIAL APPLICATIONS
/ DELONG, LUKASZ
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
INTRODUCTION
STOCHASTIC CALCULUS
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS – THE GENERAL CASE
FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
NUMERICAL METHODS FOR FBSDES
NONLINEAR EXPECTATIONS AND G-EXPECTATIONS
COMBINED FINANCIAL AND INSURANCE MODEL
LINEAR BSDES AND PREDICTABLE REPRESENTATIONS OF INSURANCE PAYMENT
PROCESSES
ARBITRAGE-FREE PRICING, PERFECT HEDGING AND SUPERHEDGING
QUADRATIC PRICING AND HEDGING
UTILITY MAXIMIZATION AND INDIFFERENCE PRICING AND HEDGING
PRICING AND HEDGING UNDER A LEAST FAVORABLE MEASURE
DYNAMIC RISK MEASURES
OTHER CLASSES OF BSDES
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS AND THEIR
ACTUARIAL AND FINANCIAL APPLICATIONS
/ DELONG, LUKASZ
: 2013
ABSTRACT / INHALTSTEXT
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 LEVY 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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
| author | Delong, Łukasz |
| author_GND | (DE-588)1037885309 |
| author_facet | Delong, Łukasz |
| author_role | aut |
| author_sort | Delong, Łukasz |
| author_variant | ł d łd |
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| bvnumber | BV041215010 |
| classification_tum | MAT 000 |
| collection | ZDB-2-SMA |
| ctrlnum | (OCoLC)860224409 (DE-599)DNB1035647788 |
| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-1-4471-5331-3 |
| format | Electronic eBook |
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| spelling | Delong, Łukasz Verfasser (DE-588)1037885309 aut Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps Łukasz Delong London [u.a.] Springer 2013 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier EAA series Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Rückwärtsgleichung (DE-588)4752002-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s 1\p DE-604 Rückwärtsgleichung (DE-588)4752002-4 s 2\p DE-604 Stochastische Differentialgleichung (DE-588)4057621-8 s 3\p DE-604 https://doi.org/10.1007/978-1-4471-5331-3 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026189659&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026189659&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Delong, Łukasz Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps Finanzmathematik (DE-588)4017195-4 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Rückwärtsgleichung (DE-588)4752002-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4057621-8 (DE-588)4752002-4 |
| title | Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps |
| title_auth | Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps |
| title_exact_search | Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps |
| title_full | Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps Łukasz Delong |
| title_fullStr | Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps Łukasz Delong |
| title_full_unstemmed | Backward stochastic differential equations with jumps and their actuarial and financial applications BSDEs with jumps Łukasz Delong |
| title_short | Backward stochastic differential equations with jumps and their actuarial and financial applications |
| title_sort | backward stochastic differential equations with jumps and their actuarial and financial applications bsdes with jumps |
| title_sub | BSDEs with jumps |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Stochastische Differentialgleichung (DE-588)4057621-8 gnd Rückwärtsgleichung (DE-588)4752002-4 gnd |
| topic_facet | Finanzmathematik Stochastische Differentialgleichung Rückwärtsgleichung |
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