Numerical Solution of Stochastic Differential Equations with Jumps in Finance - Softcover

Inhaltsangabe

Stochastic Differential Equations with Jumps.- Exact Simulation of Solutions of SDEs.- Benchmark Approach to Finance and Insurance.- Stochastic Expansions.- to Scenario Simulation.- Regular Strong Taylor Approximations with Jumps.- Regular Strong Itô Approximations.- Jump-Adapted Strong Approximations.- Estimating Discretely Observed Diffusions.- Filtering.- Monte Carlo Simulation of SDEs.- Regular Weak Taylor Approximations.- Jump-Adapted Weak Approximations.- Numerical Stability.- Martingale Representations and Hedge Ratios.- Variance Reduction Techniques.- Trees and Markov Chain Approximations.- Solutions for Exercises.

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