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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
- Language:
- English
- ISBN:
- 9783662519738
- Binding:
- Paperback
- Pages:
- 856
- Published:
- August 23, 2016
- Edition:
- 12010
- Dimensions:
- 236x157x53 mm.
- Weight:
- 1310 g.
Delivery:
1-2 weeks
Expected delivery: October 17, 2024
Description of 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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