Numerical Solution of Sde Through Computer Experiments (Universitext) - Softcover

Über die Autorin bzw. den Autor

Professor Eckhard Platen is a joint appointment between the School of Finance and Economics and the Department of Mathematical Sciences to the 1997 created Chair in Quantitative Finance at the University of Technology Sydney. Prior to this appointment he was Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He completed a PhD in Mathematics at the Technical University in Dresden in 1975 and obtained in 1985 his Dr. sc. from the Academy of Sciences in Berlin, where he headed at the Weierstrass Institute the Sector of Stochastics. He is co-author of two successful books on Numerical Methods for Stochastic Differential Equations, published by Springer Verlag, and has authored more than 100 research papers in quantitative finance and mathematics.

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This is a computer experimental introduction to the numerical solution of stochastic differential equations. A downloadable software software containing programs for over 100 problems is provided at one of the following homepages:

http://www.math.uni-frankfurt.de/numerik/kloeden/

http://www.business.uts.edu.au/finance/staff/eckard.html

http://www.math.siu.edu/schurz/SOFTWARE/

to enable the reader to develop an intuitive understanding of the issues involved. Applications include stochastic dynamical systems, filtering, parametric estimation and finance modeling.

The book is intended for readers without specialist stochastic background who want to apply such numerical methods to stochastic differential equations that arise in their own field. It can also be used as an introductory textbook for upper-level undergraduate or graduate students in engineering, physics and economics.