Items related to Numerical Solution of Stochastic Differential Equations...
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64) - Softcover
Synopsis
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.
"synopsis" may belong to another edition of this title.
About the Author
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
From the Back Cover
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.
"About this title" may belong to another edition of this title.
Buy New
View this item
US$ 132.94
US$ 12.88 shipping from Italy to U.S.A.
Destination, rates & speedsOther Popular Editions of the Same Title
Search results for Numerical Solution of Stochastic Differential Equations...
Stock Image
Platen:Numerical Solution of Stochastic (eng)
Print on DemandSeller: Brook Bookstore On Demand, Napoli, NA, Italy
Seller rating 5 out of 5 stars
Condition: new. Questo è un articolo print on demand. Seller Inventory # 155c803e432d5e8475afac5c6f89b4ba
Quantity: Over 20 available
Seller Image
Numerical Solution of Stochastic Differential Equations With Jumps in Finance
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # 27440637-n
Quantity: 15 available
Stock Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64)
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Seller rating 5 out of 5 stars
Condition: New. Seller Inventory # ABLIING23Mar3113020316466
Quantity: Over 20 available
Stock Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Paperback)
Published by
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2016
ISBN 10: 3662519739
ISBN 13: 9783662519738
New
Paperback
Seller: Grand Eagle Retail, Mason, OH, U.S.A.
Seller rating 5 out of 5 stars
Paperback. Condition: new. Paperback. 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. 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). Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9783662519738
Quantity: 1 available
Seller Image
Numerical Solution of Stochastic Differential Equations With Jumps in Finance
Seller: GreatBookPrices, Columbia, MD, U.S.A.
Seller rating 5 out of 5 stars
Condition: As New. Unread book in perfect condition. Seller Inventory # 27440637
Quantity: 15 available
Stock Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In. Seller Inventory # ria9783662519738_new
Quantity: Over 20 available
Seller Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Published by
Springer Berlin Heidelberg Aug 2016, 2016
ISBN 10: 3662519739
ISBN 13: 9783662519738
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: 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. Seller Inventory # 9783662519738
Quantity: 2 available
Seller Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Published by
Springer Berlin Heidelberg, 2016
ISBN 10: 3662519739
ISBN 13: 9783662519738
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 4 out of 5 stars
Condition: 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. Seller Inventory # 449138358
Quantity: Over 20 available
Seller Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Published by
Springer Berlin Heidelberg, Springer Berlin Heidelberg Aug 2016, 2016
ISBN 10: 3662519739
ISBN 13: 9783662519738
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: 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. Seller Inventory # 9783662519738
Quantity: 2 available
Seller Image
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Published by
Springer Berlin Heidelberg, 2016
ISBN 10: 3662519739
ISBN 13: 9783662519738
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: 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. Seller Inventory # 9783662519738
Quantity: 1 available