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Numerical Solution of Stochastic Differential Equations with Jumps in Finance: 64 (Stochastic Modelling and Applied Probability) - Softcover
Inhaltsangabe
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 quantitative methods, 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.
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Über die Autorin bzw. den Autor
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
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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 quantitative methods, 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.
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- VerlagSpringer
- Erscheinungsdatum2016
- ISBN 10 3662519739
- ISBN 13 9783662519738
- EinbandTapa blanda
- SpracheEnglisch
- Anzahl der Seiten888
- Kontakt zum HerstellerNicht verfügbar
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. The presented book is accessible to a wide readership and contains many new results on numerical methods but also innovative methodologies in quantitative finance.To help the reader to develop a good understanding of the underlying mathematics, exercises wi. Bestandsnummer des Verkäufers 449138358
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
ISBN 10: 3662519739
ISBN 13: 9783662519738
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Taschenbuch. Zustand: Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 888 pp. Englisch. Bestandsnummer des Verkäufers 9783662519738
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Bestandsnummer des Verkäufers 9783662519738
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Verlag:
Springer Berlin Heidelberg Aug 2016, 2016
ISBN 10: 3662519739
ISBN 13: 9783662519738
Neu
Taschenbuch
Anbieter: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 quantitative methods, 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. 888 pp. Englisch. Bestandsnummer des Verkäufers 9783662519738
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64)
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Platen:Numerical Solution of Stochastic (eng)
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
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Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64)
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