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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

af Eckhard Platen, Nicola Bruti-Liberati

indgår i Stochastic Modelling and Applied Probability serien

Numerical Solution of Stochastic Differential Equations with Jumps in Finance af Eckhard Platen
Bag om Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642120572
  • Indbinding:
  • Hardback
  • Sideantal:
  • 856
  • Udgivet:
  • 17. august 2010
  • Størrelse:
  • 155x235x38 mm.
  • Vægt:
  • 1491 g.
  • BLACK WEEK
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Leveringstid: 8-11 hverdage
Forventet levering: 10. december 2024
Forlænget returret til d. 31. januar 2025

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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.

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