Financial modeling: a backward stochastic differential equations perspective

✍ Scribed by Crépey, Stéphane

• Publisher: Springer
• Year: 2015
• Tongue: English
• Series: Springer finance. Textbook
• Category: Library

✦ Synopsis

"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. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided."--Back cover.

✦ Table of Contents

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching ().- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs ().- B.Exercises.- C.Corrected Problem Sets.

✦ Subjects

Finance--Mathematical models;Stochastic differential equations;Finance -- Mathematical models