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

Francesco Cordoni | Zendy; Luca Di Persio | Zendy

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

Author(s) -

Francesco Cordoni,

Luca Di Persio

Publication year - 2014

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2014/152389

Subject(s) - mathematics , stochastic differential equation , actuarial science , work (physics) , mathematical economics , type (biology) , noise (video) , valuation of options , econometrics , economics , computer science , engineering , image (mathematics) , biology , mechanical engineering , ecology , artificial intelligence

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

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