Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Numerical Solution of Stochastic Differential Equations with Jumps in Finance by Eckhard Platen, Nicola Bruti-Liberati.

In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri...

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Bibliographic Details
Main Authors: Platen, Eckhard (Author), Bruti-Liberati, Nicola (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2010.
Edition:1st ed. 2010.
Series:Stochastic Modelling and Applied Probability, 64
Springer eBook Collection.
Subjects:
Probabilities.
Applied mathematics.
Engineering mathematics.
Statistics .
Economics, Mathematical .
Electronic resources (E-books)
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Call Number: E-Book
Status: Available

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