Articles liés à Numerical Solution of Stochastic Differential Equations...
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 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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
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
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
- ÉditeurSpringer-Verlag Berlin and Heidelberg GmbH & Co. K
- Date d'édition2016
- ISBN 10 3662519739
- ISBN 13 9783662519738
- ReliureBroché
- Langueanglais
- Nombre de pages856
- Coordonnées du fabricantnon disponible
Acheter neuf
Afficher cet article
EUR 118,61
EUR 9,70 expédition depuis Allemagne vers France
Destinations, frais et délaisAutres éditions populaires du même titre
Résultats de recherche pour Numerical Solution of Stochastic Differential Equations...
Image fournie par le vendeur
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Edité par
Springer Berlin Heidelberg, 2016
ISBN 10 : 3662519739
ISBN 13 : 9783662519738
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Etat : 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. N° de réf. du vendeur 449138358
Quantité disponible : Plus de 20 disponibles
Image d'archives
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. In. N° de réf. du vendeur ria9783662519738_new
Quantité disponible : Plus de 20 disponibles
Image fournie par le vendeur
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Edité par
Springer Berlin Heidelberg, 2016
ISBN 10 : 3662519739
ISBN 13 : 9783662519738
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783662519738
Quantité disponible : 1 disponible(s)
Image fournie par le vendeur
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Edité par
Springer Berlin Heidelberg Aug 2016, 2016
ISBN 10 : 3662519739
ISBN 13 : 9783662519738
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783662519738
Quantité disponible : 2 disponible(s)
Image d'archives
Platen:Numerical Solution of Stochastic (eng)
impression à la demandeVendeur : Brook Bookstore On Demand, Napoli, NA, Italie
Évaluation du vendeur 5 sur 5 étoiles
Etat : new. Questo è un articolo print on demand. N° de réf. du vendeur 155c803e432d5e8475afac5c6f89b4ba
Quantité disponible : Plus de 20 disponibles
Image fournie par le vendeur
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Aug 2016, 2016
ISBN 10 : 3662519739
ISBN 13 : 9783662519738
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : 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. N° de réf. du vendeur 9783662519738
Quantité disponible : 2 disponible(s)
Image d'archives
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
Vendeur : Books Puddle, New York, NY, Etats-Unis
Évaluation du vendeur 4 sur 5 étoiles
Etat : New. N° de réf. du vendeur 26375297162
Quantité disponible : 4 disponible(s)
Image d'archives
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
impression à la demandeVendeur : Majestic Books, Hounslow, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. Print on Demand. N° de réf. du vendeur 371796821
Quantité disponible : 4 disponible(s)
Image d'archives
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
impression à la demandeVendeur : Biblios, Frankfurt am main, HESSE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. PRINT ON DEMAND. N° de réf. du vendeur 18375297152
Quantité disponible : 4 disponible(s)
Image d'archives
Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability, 64)
Vendeur : Lucky's Textbooks, Dallas, TX, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. N° de réf. du vendeur ABLIING23Mar3113020316466
Quantité disponible : Plus de 20 disponibles