<p><p>This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the re
A New Approach to BSDE (Backward Stochastic Differential Equation)
β Scribed by Lixing, Jin
- Publisher
- Oxford University
- Year
- 2011
- Tongue
- English
- Leaves
- 39
- Series
- Mathematical Finance Group
- Edition
- 1
- Category
- Library
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
<p><span>This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the
<p><p>Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the cris
"Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. A