Titlebook: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications; BSDEs with Jumps ?ukasz Delong Textbo

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書目名稱Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications讀者反饋學科排名

abject

hypnogram

牽索

freight

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

geometrician

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

演繹

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

narcissism

hermetic

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

travail