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

DOI10.1155/2014/152389zbMATH Open1303.91170OpenAlexW2017086341WikidataQ59046925 ScholiaQ59046925MaRDI QIDQ462406FDOQ462406

Authors: Luca Di Persio, Francesco 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

Recommendations

• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• scientific article; zbMATH DE number 797363
• A backwards stochastic differential equation model in life insurance
• scientific article; zbMATH DE number 2159350
• scientific article; zbMATH DE number 5375477

zbMATH Keywords

backward stochastic differential equationslife insurancepricing and hedging of derivates

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Financial Modelling with Jump Processes
• Stochastic calculus for finance. II: Continuous-time models.
• Backward doubly stochastic differential equations and systems of quasilinear SPDEs
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Title not available (Why is that?)
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• Title not available (Why is that?)
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Backward stochastic differential equations with time delayed generators -- results and counterexamples
• Pricing contingent claims on stocks driven by Lévy processes
• Theory of stochastic differential equations with jumps and applications.
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Interest rate models -- theory and practice. With smile, inflation and credit
• BSDEs with jumps, optimization and applications to dynamic risk measures
• Bond Market Structure in the Presence of Marked Point Processes
• Stochastic methods. A handbook for the natural and social sciences
• Risk indifference pricing in jump diffusion markets
• Financial modeling. A backward stochastic differential equations perspective
• Reflected backward stochastic differential equations with jumps
• On solutions of backward stochastic differential equations with jumps and applications
• Title not available (Why is that?)
• Advanced Mathematical Methods for Finance

Cited In (15)

• A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
• Title not available (Why is that?)
• A backwards stochastic differential equation model in life insurance
• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
• Forward-backward SDEs driven by Lévy processes and application to option pricing
• Estimating the counterparty risk exposure by using the Brownian motion local time
• Gaussian estimates on networks with dynamic stochastic boundary conditions
• Title not available (Why is that?)
• Feedback optimal controllers for the Heston model
• A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
• Applications of anticipated BSDEs driven by time-changing Lévy noises
• Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions

This page was built for publication: Backward stochastic differential equations approach to hedging, option pricing, and insurance problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q462406)