Financial Modeling : A Backward Stochastic Diff. Crepey<|

Financial ModelingA Backward Stochastic Differential Equations Perspective\nAuthor(s): Stephane Crepey\nFormat: Paperback\nPublisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Germany\nImprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K\nISBN-13: 9783642442520, 978-3642442520\nSynopsis\nBackward 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 Fourie