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)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • Stochastic Differential Equations with Jumps
  • Exact Simulation of Solutions of SDEs
  • Benchmark Approach to Finance and Insurance
  • Stochastic Expansions
  • to Scenario Simulation
  • Regular Strong Taylor Approximations with Jumps
  • Regular Strong Itô 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.

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