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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


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

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Chula Business School Library519.2 P716N 2010CHECK SHELVES

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