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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
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...
| Cote: | Libro Electrónico |
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| Auteurs principaux: | , |
| Collectivité auteur: | |
| Format: | Électronique eBook |
| Langue: | Inglés |
| Publié: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2010.
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| Édition: | 1st ed. 2010. |
| Collection: | Stochastic Modelling and Applied Probability,
64 |
| Sujets: | |
| Accès en ligne: | Texto Completo |
Table des matières:
- 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.