Backward Stochastic Partial Differential Equations and their Applications in Financial Mathematics and Life Insurance
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- Matematisk institutt [3781]
Abstract
No abstract.List of papers
Paper I / Chapter I Ta Thi Kieu Ana, Frank Proske & Mark Rubtsov: An SPDE Maximum Principle for Stochastic Differential Games under Partial Information with Application to Optimal Portfolios on Fixed Income Markets. Stochastics Volume 82, Issue 1, 2010, pp. 3-23. http://dx.doi.org/10.1080/17442500902723542 Also in: Preprint series. Pure mathematics, 2007:19, Dept. of Math./CMA University of Oslo, http://urn.nb.no/URN:NBN:no-23487 |
Paper II / Chapter II Ta Thi Kieu Ana, Frank Proske & Mark Rubtsov: Risk Indifference Pricing of Functional Claims of the Yield Surface in the Presence of Partial Information Preprint series. Pure mathematics, 2010:19, Dept. of Math./CMA University of Oslo, http://urn.nb.no/URN:NBN:no-28065 |
Paper III / Chapter III Paul C. Kettler, Frank Proske & Mark Rubtsov: Sensitivity with respect to the yield curve: Duration in a stochastic setting Preprint series. Pure mathematics, 2010:10, Dept. of Math./CMA University of Oslo, http://urn.nb.no/URN:NBN:no-28041 |
Paper IV / Chapter IV Mark Rubtsov: Pricing of Margrabe Options for Large Investors with Application to Asset-Liability Management in Life Insurance Preprint series. Pure mathematics, 2010:20, Dept. of Math./CMA University of Oslo, http://urn.nb.no/URN:NBN:no-28066 |
Paper V / Chapter V Mark Rubtsov: Pricing of Margrabe Options for Large Investors with Application to Asset-Liability Management in Life Insurance Preprint series. Pure mathematics, 2010:21, Dept. of Math./CMA University of Oslo, http://urn.nb.no/URN:NBN:no-28080 |