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Numerical Solution of Stochastic Differential Equations with Jumps in Finance - Eckhard Platen - Bog

Bag om Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642120572
  • Indbinding:
  • Hardback
  • Sideantal:
  • 856
  • Udgivet:
  • 17. august 2010
  • Størrelse:
  • 155x235x38 mm.
  • Vægt:
  • 1491 g.
  • 8-11 hverdage.
  • 16. januar 2025
På lager
Forlænget returret til d. 31. januar 2025
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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.

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