Numerical Solutions of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability) / Platen, Eckhard/ Bruti-Liberati, Nicola

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Numerical Solutions of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability) 〈Vol. 64〉

Platen, Eckhard/ Bruti-Liberati, Nicola

Springer（2010/08発売）

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製本 Hardcover:ハードカバー版／ページ数 856 p.
商品コード 9783642120572

基本説明

The present monograph builds on the above-mentioned work and provides an introduction to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability.

Full Description

The numerical solution of such equations is more complex than that of those only driven by Wiener processes, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992).