The purpose of this book is to provide a sound introduction to the study of real-world phenomena that possess random variation. It describes how to set up and analyse models of real-life phenomena that involve elements of chance. Motivation comes from everyday experiences of probability, such as that of a dice or cards, the idea of fairness in games of chance, and the random ways in which, say,…
Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BSDEs with Lipschitz generators driven by a Brownian motion and a compensated random measure, with an emphasis on those generated by step processes and Lévy processes. It discusses key results and techniques (including numerical algori…
This self-contained, comprehensive book tackles the principal problems and advanced questions of probability theory and random processes in 22 chapters, presented in a logical order but also suitable for dipping into. They include both classical and more recent results, such as large deviations theory, factorization identities, information theory, stochastic recursive sequences. The book is fur…
Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is dis…
No Inv.: 87518-87519/P/perp/04/2c~106960/S/Perp/06/1c~113173-113177/S/Perp/08/5c
No Inv.: 88330-88332/P/Perp/04/3c~113220-113221/P/Perp/08/2c~130167/PH/Perp/11/1c
No Inv.: 87657/P/Perp/04/1c
No Inv.: 105230-105231/P/Perp/06/2c
No Inv.: 47414/S/Perp/73/1c
No Inv.: 140246-140248/P/Perp/14/3c