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Page 1 of 1 Start over Page 1 of 1. From the Back Cover Backward stochastic differential equations BSDEs provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. To get the free app, enter mobile phone number. See all free Kindle reading apps.
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Backward stochastic differential equations (BSDEs) provide a general Provides a unique, BSDE-based perspective on financial modeling and computational finance Included format: EPUB, PDF; ebooks can be used on all reading devices. Financial Modeling: A Backward Stochastic Differential Equations Perspective ( Springer Finance) by Stephane Crepey () on owiluxyfiq.tk *FREE*.
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This calibration process is the topic of Chap. Such hybrid schemes are the topics of Chaps. Again, this is presently becoming quite topical for the purpose of CVA computations. Chapters 12— 14 develop, within a rigorous mathematical framework, the con- nection between backward stochastic differential equations and partial differential equations. This is done in a jump-diffusion setting with regime switching, which covers all the models considered in the book.
Academics Roadmap Given the dual nature of the proposed audience scholars and quants , we have pro- vided more background material on stochastic processes, pricing equations and nu- merical methods than is needed for our main purposes. We expect that an average reader will need two or three attempts at reading at different levels for achieving this objective.
Probability and Statistics, Volume 18 pp. Operations Research and Financial Engineering. Binomial trees More information. Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Most helpful customer reviews on Amazon. Bayesian Techniques for Parameter Estimation. Mixed Media Sports Books.
For readers who are especially interested in BSDEs, we recommend: More on this will be found in , for which the present book should be a useful companion. Bibliographic Guidelines To conclude this preface, here are a few general references: I would like to thank all the students, who provided useful feedback through their questions and comments.
Chapters 10 and 11 are joint work with my former PhD student Abdallah Rahal see [88, 89, ].