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

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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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/787764
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