000			03676nam a22004935i 4500
001			978-1-4471-5331-3
003			DE-He213
005			20140220082809.0
007			cr nn 008mamaa
008			130611s2013 xxk| s |||| 0|eng d
020			_a9781447153313 _9978-1-4471-5331-3
024	7		_a10.1007/978-1-4471-5331-3 _2doi
050		4	_aHB135-147
072		7	_aKF _2bicssc
072		7	_aMAT003000 _2bisacsh
072		7	_aBUS027000 _2bisacsh
082	0	4	_a519 _223
100	1		_aDelong, Łukasz. _eauthor.
245	1	0	_aBackward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications _h[electronic resource] : _bBSDEs with Jumps / _cby Łukasz Delong.
264		1	_aLondon : _bSpringer London : _bImprint: Springer, _c2013.
300			_aX, 288 p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aEAA Series, _x1869-6929
505	0		_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.
520			_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.
650		0	_aMathematics.
650		0	_aFinance.
650		0	_aDistribution (Probability theory).
650	1	4	_aMathematics.
650	2	4	_aQuantitative Finance.
650	2	4	_aActuarial Sciences.
650	2	4	_aContinuous Optimization.
650	2	4	_aProbability Theory and Stochastic Processes.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9781447153306
830		0	_aEAA Series, _x1869-6929
856	4	0	_uhttp://dx.doi.org/10.1007/978-1-4471-5331-3
912			_aZDB-2-SMA
999			_c94832 _d94832