Description: Numerical Solution of Stochastic Differential Equations with Jumps in Finance by Eckhard Platen, Nicola Bruti-Liberati Estimated delivery 3-12 business days Format Paperback Condition Brand New Description 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). Publisher Description 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 quantitativemethods, 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. Author Biography 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 Details ISBN 3662519739 ISBN-13 9783662519738 Title Numerical Solution of Stochastic Differential Equations with Jumps in Finance Author Eckhard Platen, Nicola Bruti-Liberati Format Paperback Year 2016 Pages 856 Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG GE_Item_ID:140572942; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys
Price: 159.63 USD
Location: Fairfield, Ohio
End Time: 2025-01-28T03:12:55.000Z
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Restocking Fee: No
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ISBN-13: 9783662519738
Book Title: Numerical Solution of Stochastic Differential Equations with Jump
Number of Pages: Xxviii, 856 Pages
Language: English
Publication Name: Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Publisher: Springer Berlin / Heidelberg
Item Height: 1.8 in
Subject: Differential Equations / General, Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Statistics, Applied
Publication Year: 2016
Type: Textbook
Item Weight: 63.1 Oz
Author: Nicola Bruti-Liberati, Eckhard Platen
Item Length: 9.2 in
Subject Area: Mathematics, Business & Economics
Item Width: 6.1 in
Series: Stochastic Modelling and Applied Probability Ser.
Format: Trade Paperback
