Numerical solution of stochastic differential equations with jumps in finance
In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri...
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| Hlavní autoři: | , |
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| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edice: | Stochastic Modelling and Applied Probability
64 |
| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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Description d'après consultation du 2014-05-16 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Numerical solution of stochastic differential equations with jumps in finance, Eckhard Platen, Nicola Bruti-Liberati, Berlin, Springer, 2010, 1 vol. (XXVIII-856 p.), Stochastic modelling and applied probability, 978-3-642-12057-2 |
Obsah:
- Stochastic Differential Equations with Jumps Exact Simulation of Solutions of SDEs Benchmark Approach to Finance and Insurance Stochastic Expansions to Scenario Simulation Regular Strong Taylor Approximations with Jumps Regular Strong Itô Approximations Jump-Adapted Strong Approximations Estimating Discretely Observed Diffusions Filtering Monte Carlo Simulation of SDEs Regular Weak Taylor Approximations Jump-Adapted Weak Approximations Numerical Stability Martingale Representations and Hedge Ratios Variance Reduction Techniques Trees and Markov Chain Approximations Solutions for Exercises.