Numerical Solution of Stochastic Differential Equations with Jumps in Finance

• Main Authors: Platen, Eckhard (Author), Bruti-Liberati, Nicola (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010.
• Series: Stochastic Modelling and Applied Probability, 64
• Subjects: Mathematics.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Applications of Mathematics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.

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, descri...