Office of Academic Resources
Chulalongkorn University
Chulalongkorn University

Home / Help

TitleNumerical solution of stochastic differential equations with jumps in finance
Author 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


Stochastic differential equations Jump processes

LOCATIONCALL#STATUS
Central Library (4th Floor)519.2 P716NCHECK SHELVES
Chula Business School Library : Reserve Collection519.2 P716N 2010CHECK SHELVES
Chula Business School Library519.2 P716N 2010CHECK SHELVES

Chulalinet's Book Delivery Request




Location



Office of Academic Resources, Chulalongkorn University, Phayathai Rd. Pathumwan Bangkok 10330 Thailand

Contact Us

Tel. 0-2218-2929,
0-2218-2927 (Library Service)
0-2218-2903 (Administrative Division)
Fax. 0-2215-3617, 0-2218-2907

Social Network

  line

facebook   instragram