Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Platen, E; Bruti Liberati, N

Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Platen, E

Bruti Liberati, N

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Publisher:: Springer
Publication Type:: Book
Citation:: 2010, 1st
Issue Date:: 2010-01

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Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.contributor.author	Bruti Liberati, N	en_US
dc.date.issued	2010-01	en_US
dc.identifier.citation	2010, 1st	en_US
dc.identifier.isbn	978-3-642-12057-2	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14215
dc.description.abstract	This research monograph concerns the design and analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by ·Wiener processes and Poisson processes or Poisson jump measures, In financial and actuarial modeling and other areas of application I such jump difrusions are often used to dScribe the dynamics of ',.-arious state variables. In finance these may represent, for instance, asset prices, credit ratings, stock indices, luterest rates, exchange rates or commodity prices. The jump component can capture event-driven unC<'xtainties, such as corporato defaults, operational failures or insured events.	en_US
dc.publisher	Springer	en_US
dc.relation.isbasedon	10.1007/978-3-642-13694-8	en_US
dc.title	Numerical Solution of Stochastic Differential Equations with Jumps in Finance	en_US
dc.type	Book
utslib.location	Germany	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.citation.edition	1st	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1st	en_US
pubs.place-of-publication	Germany	en_US

Abstract:

This research monograph concerns the design and analysis of discrete-time approximations for stochastic differential equations (SDEs) driven by ·Wiener processes and Poisson processes or Poisson jump measures, In financial and actuarial modeling and other areas of application I such jump difrusions are often used to dScribe the dynamics of ',.-arious state variables. In finance these may represent, for instance, asset prices, credit ratings, stock indices, luterest rates, exchange rates or commodity prices. The jump component can capture event-driven unC<'xtainties, such as corporato defaults, operational failures or insured events.

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http://hdl.handle.net/10453/14215