Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance

Łukasz Delong

20 citations0/0 files storedApplicationes Mathematicae

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Stochastic processes and financial applications Probability and Risk Models Fuzzy Systems and Optimization

Abstract

We investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in insurance and finance in an attempt to find an investment strategy and an investment portf

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1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 2009Continuous-time Stochastic Control and Optimization with Financial Applications 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS 2005Financial valuation of guaranteed minimum withdrawal benefits 2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES 2001The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds 2007A forward scheme for backward SDEs

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