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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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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  • Språk:
  • Engelsk
  • ISBN:
  • 9783642120572
  • Bindende:
  • Hardback
  • Sider:
  • 856
  • Utgitt:
  • 17. august 2010
  • Dimensjoner:
  • 155x235x38 mm.
  • Vekt:
  • 1491 g.
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 20. januar 2025

Beskrivelse av 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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