AuthorPlaten, Eckhard
TitleNumerical 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

  1. Stochastic differential equations
  2. Jump processes

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