Springer Finance Textbooks
A Backward Stochastic Differential Equations Perspective
Springer Finance Textbooks
A Backward Stochastic Differential Equations Perspective
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.
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This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.