Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Eckhard Platen, 2010, Stochastic Modelling and Applied Probability

Overview

This monograph introduces stochastic differential equations with jumps, crucial for modeling dynamics in finance and actuarial science. It builds upon foundational work, detailing numerical methods for solving these complex equations, which extend beyond those driven solely by Wiener processes. The book emphasizes higher-order methods for scenario and Monte Carlo simulations, including implicit, predictor-corrector, extrapolation, Markov chain, and variance reduction techniques, highlighting their numerical stability. It also covers exact simulation, estimation, and filtering, offering a broad perspective on quantitative methods.

Who it's for

• Researchers and practitioners in quantitative finance and actuarial modeling.
• Students with an undergraduate background in mathematical or quantitative methods.
• Readers seeking practical numerical recipes for solving stochastic differential equations.

Key features

• Hardcover binding
• 856 pages
• Published by Springer in 2010
• Part of the Stochastic Modelling and Applied Probability series
• ISBN: 9783642120572