Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications (Record no. 94832)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 03676nam a22004935i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-1-4471-5331-3 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220082809.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 130611s2013 xxk| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781447153313 |
| -- | 978-1-4471-5331-3 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-1-4471-5331-3 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB135-147 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | KF |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT003000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS027000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Delong, Łukasz. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications |
| Medium | [electronic resource] : |
| Remainder of title | BSDEs with Jumps / |
| Statement of responsibility, etc | by Łukasz Delong. |
| 264 #1 - | |
| -- | London : |
| -- | Springer London : |
| -- | Imprint: Springer, |
| -- | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | X, 288 p. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | EAA Series, |
| International Standard Serial Number | 1869-6929 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 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 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Distribution (Probability theory). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Actuarial Sciences. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Continuous Optimization. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9781447153306 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | EAA Series, |
| -- | 1869-6929 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-1-4471-5331-3 |
| 912 ## - | |
| -- | ZDB-2-SMA |
No items available.