Numerical Solution of Stochastic Differential Equations with Jumps in Finance

by Eckhard Platen and Nicola Bruti-Liberati

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 3662519739
• ISBN13: 9783662519738
• Release Date: August 2016
• Publisher: Springer
• Length: 856 Pages
• Weight: 2.69 lbs.
• Dimensions: 1.8" x 6.1" x 9.2"