Backward Stochastic Differential Equations with jumps and their actuarial and financial applications
Prof. Dr. Katharina Oberpriller
If you are interested in taking part in the seminar, please (pre-)register by mail to oberpriller@math.lmu.de. We will distribute the topics in the first seminar session on April 23, 2025.
Schedule and Venue
| Events | Date/Time | Room |
|---|---|---|
| Seminar Prof. Dr. Katharina Oberpriller | Wednesday, 12-14 | B251 |
The aim of the seminar is to study the theory of Backward Stochastic Differential Equations (BSDEs) with jumps and their applications to insurance and finance.
The first part of the seminar focuses on the theory of BSDEs, i.e. we derive existence and uniqueness results for solutions of (Forward)-BSDEs and investigate numerical methods for this type of equation.
In the second part of the seminar we study a combined financial and insurance model and analyze how several well-known pricing and hedging approaches can be solved by the application of BSDEs.
- Lukasz Delong, Backward Stochastic Differential Equations with jumps and their actuarial and financial applications, Springer, 2013
The seminar is aimed at master students. A solid background in stochastic calculus is required.