Name: Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
ISBN: 9781447153306

Book information

Authors: ukasz Delong verified identity
First published: 2013
Editions known: 1
Publishers: Springer London Ltd
ISBN-13: 9781447153306
Main topics: Stochastic Calculus, Quantitative Finance
Also covers: Portfolio Optimization, Mathematical Finance, Risk Management
Related site topics: Portfolio Optimization, Risk Management & Tail Risk, Stochastic Control & Optimal Stopping

Overview

Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications is a book by ukasz Delong, first published in 2013. In this catalogue it is classified mainly under Stochastic Calculus and Quantitative Finance, with secondary coverage of Portfolio Optimization, Mathematical Finance and Risk Management.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (8/10); readers are typically expected to know calculus, differential equations, linear algebra, measure theory, numerical analysis, optimization, probability theory and stochastic processes.

Orientation. The metadata points to a theory-first treatment. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 98% and difficulty confidence is 97%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	71/100 confidence 98% Score 70.9/100. Strongest: quant_relevance 0.98, technical_depth 0.80; weakest: practical_applicability 0.12. Evidence: subjects:'quantitative finance', ol_description:'mathematical finance', ol_description:'portfolio optimization'.
Mathematical difficulty	Advanced (8/10) confidence 97%
Prerequisites	calculus, differential equations, linear algebra, measure theory, numerical analysis, optimization, probability theory, stochastic processes
Practical orientation	Theoretical
Metadata quality	99%

Difficulty evidence (8 signals)

brownian_martingale matched in ol_description: “brownian motion”
levy_jumps matched in ol_description: “levy processes”
mathematical_finance_core matched in ol_description: “mathematical finance”
mathematical_rigor matched in ol_description: “proofs”
optimization matched in ol_description: “optimization”
optimization matched in openalex_topics: “optimization”
optimization matched in subjects: “optimization”
probability_basics matched in openalex_topics: “probability”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients Topic similarity inferred similarity 0.56
A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Topic similarity inferred similarity 0.56
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market Topic similarity inferred similarity 0.54
Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients Topic similarity inferred similarity 0.54
Backward Stochastic Differential Equations in Financial Mathematics Topic similarity inferred similarity 0.49
Measuring Financial Resilience Using Backward Stochastic Differential Equations Topic similarity inferred similarity 0.48

Methods covered

Optimization Methods inferred
Stochastic Calculus & Continuous-Time Models inferred

Similar books

Forward-backward stochastic differential equations and their applications inferred similarity 0.72
Stochastic Analysis And Applications To Finance inferred similarity 0.69
Advanced financial modelling inferred similarity 0.69
Stochastic Differential Equations in Infinite Dimensions inferred similarity 0.67
Stochastic calculus for fractional Brownian motion and applications inferred similarity 0.67

Author profiles

ukasz Delong verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781447153306) (search link; may be an affiliate link)

Relationship graph

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