Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems-Reference-Cited by-同舟云学术

Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems

Published:2014-09-11 Issue: Volume:2014 Page:1-11
ISSN:2090-3332
Container-title:International Journal of Stochastic Analysis
language:en
Short-container-title:International Journal of Stochastic Analysis

Author:

Cordoni Francesco¹,Di Persio Luca²^ORCID

Affiliation:

1. Department of Mathematics, University of Trento, Via Sommarive 14, 38123 Trento, Italy

2. Department of Computer Science, University of Verona, Strada le Grazie 15, 37134 Verona, Italy

Abstract

In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Lévy type in the framework of the backward stochastic differential equations theory. Such techniques will be then used to analyse an innovative model related to insurance and death processes setting.

Publisher

Hindawi Limited

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability,Analysis

Link

http://downloads.hindawi.com/archive/2014/152389.pdf

Reference32 articles.

1. Springer Finance Textbooks,2013

2. Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications

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4. Adapted solution of a backward stochastic differential equation

5. Backward doubly stochastic differential equations and systems of quasilinear SPDEs

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