Numerical Solutions of Stochastic Differential Equations with Jumps in Finance
Stochastic Modelling and Applied Probability
Platen, Eckhard
Bruti-Liberati, Nicola
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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.