Financial modeling [electronic resource] : a backward stochastic differential equations perspective / Stéphane Crépey.

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. Al...

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Bibliographic Details

Online Access:	Full Text (via Springer)
Main Author:	Crépey, Stéphane
Format:	Electronic eBook
Language:	English
Published:	Berlin ; New York : Springer, ©2013.
Series:	Springer finance. Textbook.
Subjects:	Finance > Mathematical models. Stochastic differential equations.