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024 7 $a10.1007/978-1-4471-5331-3
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035   $a(DE-He213)978-1-4471-5331-3
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100   $a20130611d2013      u|         0
101 0 $aeng
135   $aurnn#008mamaa
181   $ctxt
182   $cc
183   $acr
200 10$aBackward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications $eBSDEs with Jumps /$fby ?ukasz Delong
205   $a1st ed. 2013.
210  1$aLondon :$cSpringer London :$cImprint: Springer,$d2013.
215   $a1 online resource (X, 288 p.)
225 1 $aEAA Series,$x1869-6929
300   $aBibliographic Level Mode of Issuance: Monograph
311   $a1-4471-5330-8 
327   $aIntroduction -- 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.
330   $aBackward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algorithms) for BSDEs with jumps and studies filtration-consistent nonlinear expectations and g-expectations. Part I also focuses on the mathematical tools and proofs which are crucial for understanding the theory. Part II investigates actuarial and financial applications of BSDEs with jumps. It considers a general financial and insurance model and deals with pricing and hedging of insurance equity-linked claims and asset-liability management problems. It additionally investigates perfect hedging, superhedging, quadratic optimization, utility maximization, indifference pricing, ambiguity risk minimization, no-good-deal pricing and dynamic risk measures. Part III presents some other useful classes of BSDEs and their applications. This book will make BSDEs more accessible to those who are interested in applying these equations to actuarial and financial problems. It will be beneficial to students and researchers in mathematical finance, risk measures, portfolio optimization as well as actuarial practitioners.
410  0$aEAA Series,$x1869-6929
606   $aEconomics, Mathematical 
606   $aActuarial science
606   $aMathematical optimization
606   $aProbabilities
606   $aQuantitative Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/M13062
606   $aActuarial Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13080
606   $aContinuous Optimization$3https://scigraph.springernature.com/ontologies/product-market-codes/M26030
606   $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004
615  0$aEconomics, Mathematical .
615  0$aActuarial science.
615  0$aMathematical optimization.
615  0$aProbabilities.
615 14$aQuantitative Finance.
615 24$aActuarial Sciences.
615 24$aContinuous Optimization.
615 24$aProbability Theory and Stochastic Processes.
676   $a519.2
700   $aDelong$b ?ukasz$4aut$4http://id.loc.gov/vocabulary/relators/aut$01057766
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910438152403321
996   $aBackward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications$92494439
997   $aUNINA