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Stochastic Modelling and Applied Probability

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Authors: Platen, Eckhard, Bruti-Liberati, Nicola

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  • Accessible to a wide readership
  • Contains many new results on numerical methods but also innovative methodologies in quantitative finance
  • Exercises with solutions are included to help the reader to develop a good understanding of the underlying mathematics
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About this Textbook

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 Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics.

About the authors

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 Quantitative Finance

Table of contents (18 chapters)

Table of contents (18 chapters)

Buy this book

eBook $79.99
price for USA in USD
  • ISBN 978-3-642-13694-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-642-12057-2
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually ready to be dispatched within 3 to 5 business days.
Softcover $99.99
price for USA in USD
  • ISBN 978-3-662-51973-8
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually ready to be dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Authors
Series Title
Stochastic Modelling and Applied Probability
Series Volume
64
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-13694-8
DOI
10.1007/978-3-642-13694-8
Hardcover ISBN
978-3-642-12057-2
Softcover ISBN
978-3-662-51973-8
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XXVIII, 856
Topics

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