| 書目名稱 | Numerical Solution of Stochastic Differential Equations with Jumps in Finance |
| 編輯 | Eckhard Platen,Nicola Bruti-Liberati |
| 視頻video | http://file.papertrans.cn/670/669218/669218.mp4 |
| 概述 | The presented book is accessible to a wide readership and contains many new results on numerical methods but also innovative methodologies in quantitative finance..To help the reader to develop a good |
| 叢書名稱 | Stochastic Modelling and Applied Probability |
| 圖書封面 |  |
| 描述 | 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, described in Kloeden & Platen: Numerical Solution of Stochastic Differential Equations (1992). 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. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitativemethods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much o |
| 出版日期 | Textbook 2010 |
| 關鍵詞 | Variance; jump diffusions; linear optimization; numerical methods; quantitative finance; simulation; stoch |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-13694-8 |
| isbn_softcover | 978-3-662-51973-8 |
| isbn_ebook | 978-3-642-13694-8Series ISSN 0172-4568 Series E-ISSN 2197-439X |
| issn_series | 0172-4568 |
| copyright | Springer-Verlag Berlin Heidelberg 2010 |
|Archiver|手機版|小黑屋|
派博傳思國際
( 京公網(wǎng)安備110108008328)
GMT+8, 2025-10-9 08:07
發(fā)表于 2025-3-21 18:49:21
