Download Ebook BookNumerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)

[Free PDF.sNdF] Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)

[Free PDF.sNdF] Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)

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Book Details :
Published on: 2010-10-08
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Original language: English

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. Bernoulli vol. 21 iss. 4 (2015) Importance sampling and statistical Romberg method Mohamed Ben Alaya Kaouther Hajji Ahmed Kebaier Bernoulli vol. 21 iss. 4 (2015) 1947-1983 - - Numerical Method Inc Resolve a DOI Name Type or paste a DOI name into the text box. Click Go. Your browser will take you to a Web page (URL) associated with that DOI name. Send questions or comments to doi ... Make a Refundable deposite :: Express HelpLine Your personal information and card details are 100% secure. About Us Recent Question User Login Security & Privacy Policy Question list Terms of Service ... mgu.ac.in Assignments: Best of two assignments are considered per course. The student has to take a minimum of one seminar per course. A minimum of two class tests are to be ... [ihtik.lib.ru] _ [ihtik.lib.ru] _. : 14292 : 573 GB; ; d:\_ihtik.lib.ru\2012.03 ... Thierry Roncalli's Home Page Contact; CV; Thierry Roncalli's Home Page. Welcome to my home page. I made available on it some of my academic works. Please contact me for any comments or questions ... Stochastic process - Wikipedia The Wiener process is a stochastic process with stationary and independent increments that are normally distributed based on the size of the increments. Doctoral Dissertations Available from Proquest ... Submissions from 2014. Amoroso Jon William (2014) Reactive Probes for Manipulating Polyketide Synthases and Photoreactive Probes for Strained Alkyne Click Chemistry 2016-2017 Calendar Applications of the lognormal distribution Brownian motion geometric Brownian motion martingales Itos limma stochastic differential equations interest rate ...
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