Author | Platen, Eckhard |
---|
Title | Numerical solution of stochastic differential equations with jumps in finance / Eckhard Platen, Nicola Bruti-Liberati |
---|
Imprint |
New York : Springer-Verlag, c2010 |
---|
Descript |
xxviii, 856 p. : ill. ; 25 cm |
---|
|
CONTENT
Stochastic differential equations with jumps -- Exact simulation of solutions of SDEs -- Benchmark approach to finance and insurance -- Stochastic expansions -- Introduction to scenario simulation -- Regular strong taylor approximations with jumps -- Regular strong ito 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
SUBJECT
-
Stochastic differential equations
-
|
Jump processes
LOCATION | CALL# | STATUS |
---|
Central Library (4th Floor) | 519.2 P716N |
CHECK SHELVES
|
Chula Business School Library : Reserve Collection | 519.2 P716N 2010 |
CHECK SHELVES
|
Chula Business School Library | 519.2 P716N 2010 |
CHECK SHELVES
|