Backward stochastic differential equations approach to hedging, option pricing, and insurance problems

DOI10.1155/2014/152389zbMath1303.91170OpenAlexW2017086341WikidataQ59046925 ScholiaQ59046925MaRDI QIDQ462406

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 20 October 2014

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/152389

zbMATH Keywords

backward stochastic differential equationslife insurancepricing and hedging of derivates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Applications of anticipated BSDEs driven by time-changing Lévy noises ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Feedback optimal controllers for the Heston model ⋮ A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations ⋮ Gaussian estimates on networks with dynamic stochastic boundary conditions ⋮ A Legendre-based computational method for solving a class of Itô stochastic delay differential equations ⋮ A BSDE with delayed generator approach to pricing under counterparty risk and collateralization ⋮ Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time

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