Numerical Solution of Stochastic Differential Equations with Jumps in Finance

DSpace/Manakin Repository

Search OPUS


Advanced Search

Browse

My Account

Show simple item record

dc.contributor.author Platen, E
dc.contributor.author Bruti Liberati, N
dc.date.accessioned 2012-02-02T01:45:45Z
dc.date.issued 2010-01
dc.identifier.citation 2010, 1st
dc.identifier.isbn 978-3-642-12057-2
dc.identifier.other A1 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.
dc.publisher Springer
dc.relation.isbasedon 10.1007/978-3-642-13694-8
dc.title Numerical Solution of Stochastic Differential Equations with Jumps in Finance
dc.type Book
dc.journal.number en_US
dc.publocation Germany en_US
dc.publocation Germany
dc.publocation Germany
dc.identifier.startpage en_US
dc.identifier.endpage en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 Financial Mathematics
dc.personcode 970685
dc.personcode 10086991
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.edition 1st
dc.edition 1st
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA
dc.description.keywords NA
pubs.embargo.period Not known
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/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)
utslib.collection.history Closed (ID: 3)


Files in this item

This item appears in the following Collection(s)

Show simple item record