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Numerical solution of stochastic differential equations with jumps in finance/

Platen, Eckhard

Numerical solution of stochastic differential equations with jumps in finance/ Eckhard Platen and Nicola Bruti-Liberati - New York: Springer, 2010. - xxviii, 856 p. : ill. ; 25 cm. - (Stochastic modelling and applied probability), 64 .

1. SDEs with Jumps --
2. Exact Simulation of Solutions of SDEs --
3. Benchmark Approach to Finance --
4. Stochastic Expansions --
5. Introduction to Scenario Simulation --
6. Regular Strong Taylor Approximations --
7. Regular Strong Ito Approximations --
8. Jump-Adapted Strong Approximations --
9. Estimating Discretely Observed Diffusions --
10. Filtering --
11. Monte Carlo Simulation of SDEs --
12. Regular Weak Taylor Approximations --
3. Jump-Adapted Weak Approximations --
14. Numerical Stability --
15. Martingale Representations and Hedge Ratios --
16. Variance Reduction Techniques --
17. Trees and Markov Chain Approximations --
18. Solutions for Exercises.

ISBN: 9783642120572

Subjects--Topical Terms:
Stochastic differential equations
Jump processes
Distribution (Probability theory)
Statistics
Mathematics

Dewey Class. No.: 515.35 / PLA/