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Numerical solution of stochastic differential equations with jumps in finance/ Eckhard Platen and Nicola Bruti-Liberati

By: Platen, EckhardContributor(s): Bruti-Liberati, NicolaMaterial type: Text

TextSeries: (Stochastic modelling and applied probability) ; 64Publication details: New York: Springer, 2010Description: xxviii, 856 p. : ill. ; 25 cmISBN: 9783642120572Subject(s): Stochastic differential equations | Jump processes | Distribution (Probability theory) | Statistics | MathematicsDDC classification: 515.35

Contents:

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.

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
General Books	Central Library, Sikkim University General Book Section	515.35 PLA/ (Browse shelf(Opens below))	Available		P25333

Total holds: 0

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.

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