標題: Titlebook: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications; BSDEs with Jumps ?ukasz Delong Textbo [打印本頁] 作者: 相持不下 時間: 2025-3-21 17:40
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications影響因子(影響力)
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications影響因子(影響力)學科排名
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications網(wǎng)絡公開度
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications網(wǎng)絡公開度學科排名
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications被引頻次
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications被引頻次學科排名
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications年度引用
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications年度引用學科排名
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications讀者反饋
書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications讀者反饋學科排名
作者: abject 時間: 2025-3-21 23:42 作者: hypnogram 時間: 2025-3-22 02:30 作者: 牽索 時間: 2025-3-22 08:38 作者: freight 時間: 2025-3-22 11:57
Quadratic Pricing and Hedging First, we deal with a minimal hedging error in a mean-square sense. The hedging error is evaluated both under an equivalent martingale measure and the real-world measure. Next, we investigate locally risk minimizing strategies which lead to non-self-financing investment portfolio processes. Finally作者: geometrician 時間: 2025-3-22 15:44
Utility Maximization and Indifference Pricing and Hedgingthe investment strategy under which the expected exponential utility of the insurer’s terminal wealth is maximized. We characterize the optimal value function of the optimization problem and the optimal investment strategy by a nonlinear BSDE. Next, we solve the exponential indifference pricing and 作者: 演繹 時間: 2025-3-22 19:29
Pricing and Hedging Under a Least Favorable Measurericing and hedging under model ambiguity. We find the hedging strategy which minimizes the expected terminal shortfall under a least favorable probability measure specifying the probability model for the risk factors and we set the price which offsets this worst shortfall. Next, we deal with no-good作者: narcissism 時間: 2025-3-22 22:55 作者: hermetic 時間: 2025-3-23 03:05
Other Classes of BSDEsDE in which the terminal condition and the generator depend on the past values of the solution. Next, we consider a reflected BSDE in which the solution is constrained to stay above a barrier. Finally, we deal with a constrained BSDE in which all components of the solution are forced to satisfy a co作者: travail 時間: 2025-3-23 09:01 作者: 破裂 時間: 2025-3-23 12:13
Numerical Methods for FBSDEsonte Carlo simulations. In the case of a FBSDE driven by a Brownian motion and a compensated Poisson process we replace the original driving noises by discrete-space martingales. We also use the connection with partial integro-differential equations and we present an explicit-implicit finite difference method for solving a PIDE.作者: 季雨 時間: 2025-3-23 16:22 作者: 加強防衛(wèi) 時間: 2025-3-23 19:40 作者: 厭食癥 時間: 2025-3-23 23:44
Textbook 2013heory 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-consis作者: Angioplasty 時間: 2025-3-24 04:48
https://doi.org/10.1007/978-3-642-22215-3gro-differential equation. A generalization of the Feynman-Kac formula is given. We also deal with a coupled forward-backward SDE in which a solution to the backward component also affects the forward component.作者: NOCT 時間: 2025-3-24 09:02 作者: 現(xiàn)暈光 時間: 2025-3-24 11:02 作者: 性滿足 時間: 2025-3-24 16:38 作者: 易于 時間: 2025-3-24 21:06
Sexual Function in the Spinal Cord Patient,e real-world measure. Next, we investigate locally risk minimizing strategies which lead to non-self-financing investment portfolio processes. Finally, we minimize an instantaneous mean-variance risk measure of the insurer’s surplus to derive a hedging strategy. The pricing and hedging strategies are characterized by linear and nonlinear BSDEs.作者: 沐浴 時間: 2025-3-25 00:36 作者: ungainly 時間: 2025-3-25 03:47
Stochastic Calculusdom measures and we recall their properties. We discuss the weak property of predictable representation for local martingales. Equivalent probability measures are defined, and Girsanov’s theorem for Brownian motion and random measures is stated. We give differentiation rules of the Malliavin calculus.作者: 非秘密 時間: 2025-3-25 11:13 作者: 障礙物 時間: 2025-3-25 12:59
Utility Maximization and Indifference Pricing and Hedgingfunction of the optimization problem and the optimal investment strategy by a nonlinear BSDE. Next, we solve the exponential indifference pricing and hedging problem. We show that the indifference price and the indifference hedging strategy solve a nonlinear BSDE.作者: Injunction 時間: 2025-3-25 18:16 作者: Delude 時間: 2025-3-25 20:41
Sylvia Topouzkhanian,Palakiyém Abaloonte Carlo simulations. In the case of a FBSDE driven by a Brownian motion and a compensated Poisson process we replace the original driving noises by discrete-space martingales. We also use the connection with partial integro-differential equations and we present an explicit-implicit finite difference method for solving a PIDE.作者: 香料 時間: 2025-3-26 04:09 作者: IRK 時間: 2025-3-26 06:32 作者: 使困惑 時間: 2025-3-26 11:14 作者: 額外的事 時間: 2025-3-26 14:03 作者: BIBLE 時間: 2025-3-26 19:47 作者: Occupation 時間: 2025-3-26 22:01 作者: 百科全書 時間: 2025-3-27 01:25
Introduction,We discuss advantages of solving optimal control problems and defining nonlinear expectations by backward stochastic differential equations. We comment on applications of backward stochastic differential equations to pricing and hedging of liabilities and modelling of dynamic risk measures.作者: CRAFT 時間: 2025-3-27 05:36
Robert P. Benedict,Nicola A. Carlucciy processes, step processes and their jump measures are given. We investigate stochastic integrals with respect to Brownian motion and compensated random measures and we recall their properties. We discuss the weak property of predictable representation for local martingales. Equivalent probability 作者: 用肘 時間: 2025-3-27 11:02 作者: FIS 時間: 2025-3-27 16:00 作者: 脾氣暴躁的人 時間: 2025-3-27 18:14 作者: Intercept 時間: 2025-3-28 01:33 作者: adduction 時間: 2025-3-28 05:00
A. J. Gale,E. M. Sedgwick,R. Jacksonthe investment strategy under which the expected exponential utility of the insurer’s terminal wealth is maximized. We characterize the optimal value function of the optimization problem and the optimal investment strategy by a nonlinear BSDE. Next, we solve the exponential indifference pricing and 作者: Interim 時間: 2025-3-28 06:32
https://doi.org/10.1007/978-94-011-1416-5ricing and hedging under model ambiguity. We find the hedging strategy which minimizes the expected terminal shortfall under a least favorable probability measure specifying the probability model for the risk factors and we set the price which offsets this worst shortfall. Next, we deal with no-good作者: 琺瑯 時間: 2025-3-28 12:31
S. J. Jones,M. Hetreed,N. J. Smithare modelled by .-expectations. We study properties of dynamic risk measures and we show that properties of dynamic risk measures are determined by the generator of the BSDE defining the .-expectation and the risk measure. We discuss methods for choosing the generator of a .-expectation. We also sol作者: 侵略 時間: 2025-3-28 16:59
Back Pain: The Classic Surgeon’s ViewDE in which the terminal condition and the generator depend on the past values of the solution. Next, we consider a reflected BSDE in which the solution is constrained to stay above a barrier. Finally, we deal with a constrained BSDE in which all components of the solution are forced to satisfy a co作者: 誘惑 時間: 2025-3-28 20:04
?ukasz DelongContains the most recent advances in BSDEs.Applies BSDEs with jumps to insurance and finance.Full notation and results are given, followed by applications作者: condemn 時間: 2025-3-28 23:41 作者: 毗鄰 時間: 2025-3-29 07:07 作者: 河流 時間: 2025-3-29 10:06
978-1-4471-5330-6Springer-Verlag London 2013作者: 可忽略 時間: 2025-3-29 12:42 作者: BLANC 時間: 2025-3-29 16:28
1869-6929 isk 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 978-1-4471-5330-6978-1-4471-5331-3Series ISSN 1869-6929 Series E-ISSN 1869-6937 作者: comely 時間: 2025-3-29 21:12
Linear BSDEs and Predictable Representations of Insurance Payment Processes作者: 去掉 時間: 2025-3-30 01:54
Arbitrage-Free Pricing, Perfect Hedging and Superhedging作者: olfction 時間: 2025-3-30 07:17 作者: Urologist 時間: 2025-3-30 09:19
9樓作者: Torrid 時間: 2025-3-30 14:08
10樓作者: Inflamed 時間: 2025-3-30 16:55
10樓作者: Dendritic-Cells 時間: 2025-3-30 21:08
10樓作者: Climate 時間: 2025-3-31 03:12
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