In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Lévy type inthe framework of the backward stochastic differential equations theory. Such techniques will be then used to analyse an innovativemodel related to insurance and death processes setting
Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems
Francesco Cordoni;DI PERSIO, Luca
2014-01-01
Abstract
In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Lévy type inthe framework of the backward stochastic differential equations theory. Such techniques will be then used to analyse an innovativemodel related to insurance and death processes setting
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