Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Lingua: inglese

Editore: Springer, Springer Spektrum Aug 2010, 2010

3642120571 / 9783642120572

Serie: Libro 22 di 30 - Stochastic Modelling and Applied Probability

Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germaniabuchversandmimpf2000

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Venditore AbeBooks dal 23 gennaio 2017

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This item is printed on demand - Print on Demand Titel. Neuware -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 of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance.Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 888 pp. Englisch. …

Codice articolo 9783642120572

Titolo
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Autore
Eckhard Platen
Editore
Springer, Springer Spektrum Aug 2010
Anno di pubblicazione
2010
Condizione
Neu
Rilegatura
Buch
Lingua
inglese
ISBN 10
3642120571
ISBN 13
9783642120572
Peso dell'articolo
1478 grammi
Dimensioni
241x160x52 mm
Serie
Libro 22 di 30: Stochastic Modelling and Applied Probability

buchversandmimpf2000

Emtmannsberg, BAYE, Germania

Venditore con 5 stelle

Venditore AbeBooks dal 23 gennaio 2017

Tariffe di spedizione da Germania a U.S.A.

ArticoloDa 60 a 60 giorni lavorativiDa 60 a 60 giorni lavorativi
Primo articoloEUR 60,00EUR 75,00
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