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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Om Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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.

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  • Språk:
  • Engelsk
  • ISBN:
  • 9783662519738
  • Bindende:
  • Paperback
  • Sider:
  • 856
  • Utgitt:
  • 23 august 2016
  • Utgave:
  • 12010
  • Dimensjoner:
  • 236x157x53 mm.
  • Vekt:
  • 1310 g.
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 26 juli 2024

Beskrivelse av Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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.

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