Items related to Numerical Solution of Stochastic Differential Equations...
Synopsis
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.
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- PublisherSpringer
- Publication date2011
- ISBN 10 3642136931
- ISBN 13 9783642136931
- BindingPaperback
- LanguageEnglish
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