{"title":"对冲、期权定价和保险问题的倒向随机微分方程方法","authors":"F. Cordoni, L. Persio","doi":"10.1155/2014/152389","DOIUrl":null,"url":null,"abstract":"In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Levy 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.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"31 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"20","resultStr":"{\"title\":\"Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems\",\"authors\":\"F. Cordoni, L. Persio\",\"doi\":\"10.1155/2014/152389\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Levy 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.\",\"PeriodicalId\":196477,\"journal\":{\"name\":\"International Journal of Stochastic Analysis\",\"volume\":\"31 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-09-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"20\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Stochastic Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1155/2014/152389\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Stochastic Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1155/2014/152389","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems
In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Levy 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.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
