Numerical solution of stochastic differential equations with jumps in finance

Author(s)

• Platen, Eckhard
• Bruti-Liberati, Nicola

Bibliographic Information

Numerical solution of stochastic differential equations with jumps in finance

Eckhard Platen, Nicola Bruti-Liberati

（Stochastic modelling and applied probability, 64）

Springer, c2010

Note

Includes bibliographical references (p. 793-834) and indexes

Details

• NCID: BB03181886
• ISBN:
  • 9783642120572
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Berlin
• Pages/Volumes: xxviii, 856 p.
• Size: 25 cm
• Classification:
  • SG : 519.22
  • SG : 510;330
• Subject Headings:
  • LCSH : Stochastic differential equations
  • LCSH : Jump processes
  • SWD : Stochastische Differentialgleichung -- Poisson-Prozess -- Zeitdiskrete Approximation -- Monte-Carlo-Simulation -- Finanzmathematik
• Parent Bibliography ID:
  • BA70424457