.png){kind=logo}
Stock image for illustration purposes only - book cover, edition or condition may vary.
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
Platen, Eckhard, Bruti-Liberati, Nicola
€ 167.76
FREE Delivery in Ireland
Description for Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
Hardcover. This volume provides an introduction to stochastic differential equations with jumps, in both theory and application. The book is accessible and contains many new results on numerical methods but also innovative methodologies in quantitative finance. Series: Stochastic Modelling and Applied Probability. Num Pages: 856 pages, 169 black & white illustrations, biography. BIC Classification: KJQ; PBT; PBW. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 38. Weight in Grams: 1491.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2010
Publisher
Springer
Condition
New
Series
Stochastic Modelling and Applied Probability
Number of Pages
856
Place of Publication
Berlin, Germany
ISBN
9783642120572
SKU
V9783642120572
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Platen, Eckhard, Bruti-Liberati, Nicola
Prof. Eckhard Platen holds the Chair in Quantitative Finance at the University of Technology, Sydney. Author of books on numerical methods for stochastic differential equations and recent book on benchmark approach at Springer Verlag. Has written more than 140 papers in finance, insurance and applied mathematics and serves on the editorial boards of five international journals including Mathematical Finance and ... Read more
Reviews for Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
From the reviews: "The book is accessible at a graduate student level, though some parts of the book are more advanced. It can also be used by readers with enough mathematical background as a reference book for methods and techniques on numerical approximations of SDEs. ... contains an extensive up-to-date bibliography, including bibliographic notes for each chapter, making it an ... Read more