This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

We prove results on bounded solutions to backward stochastic equations driven by random
measures. Those bounded BSDE solutions are then applied to solve different stochastic …

We study the dynamics of the exponential utility indifference value process C (B; α) for a
contingent claim B in a semimartingale model with a general continuous filtration. We prove …

We study a rational valuation and hedging principle for contingent claims which integrate
tradable and non-tradable sources of risk. The principle is based on the preferences of a …

We use probabilistic methods to study classical solutions for systems of interacting
semilinear parabolic partial differential equations. In a modeling framework for a financial …

We present a valuation framework that captures the main characteristics of employee stock
options (ESOs), which financial regulations now require to be expensed in firms' accounting …

In this paper we develop a numerical method for pricing American options under regime-
switching model, whose solutions are option buyer indifference prices. The problem is …

In this paper, we study a class of Quadratic Backward Stochastic Differential Equations
(QBSDE in short) with jumps and unbounded terminal condition. We extend the class of …

We introduce and solve a new type of quadratic backward stochastic differential equation
(BSDE) systems defined in an infinite time horizon, called ergodic BSDE systems. Such …

Under general conditions stated in Rheinländer [An entropy approach to the stein/stein
model with correlation. Preprint, 2003, ETH Zürich.], we prove that in a stochastic volatility …