Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Authors:

ISBN: 978-3-642-12057-2 (Print) 978-3-642-13694-8 (Online)

Table of contents (18 chapters)

  1. Front Matter

    Pages I-XXVIII

  2. No Access

    Book Chapter

    Pages 1-60

    Stochastic Differential Equations with Jumps

  3. No Access

    Book Chapter

    Pages 61-137

    Exact Simulation of Solutions of SDEs

  4. No Access

    Book Chapter

    Pages 139-185

    Benchmark Approach to Finance and Insurance

  5. No Access

    Book Chapter

    Pages 187-231

    Stochastic Expansions

  6. No Access

    Book Chapter

    Pages 233-271

    Introduction to Scenario Simulation

  7. No Access

    Book Chapter

    Pages 273-307

    Regular Strong Taylor Approximations with Jumps

  8. No Access

    Book Chapter

    Pages 309-346

    Regular Strong Itô Approximations

  9. No Access

    Book Chapter

    Pages 347-388

    Jump-Adapted Strong Approximations

  10. No Access

    Book Chapter

    Pages 389-417

    Estimating Discretely Observed Diffusions

  11. No Access

    Book Chapter

    Pages 419-475

    Filtering

  12. No Access

    Book Chapter

    Pages 477-505

    Monte Carlo Simulation of SDEs

  13. No Access

    Book Chapter

    Pages 507-522

    Regular Weak Taylor Approximations

  14. No Access

    Book Chapter

    Pages 523-569

    Jump-Adapted Weak Approximations

  15. No Access

    Book Chapter

    Pages 571-590

    Numerical Stability

  16. No Access

    Book Chapter

    Pages 591-635

    Martingale Representations and Hedge Ratios

  17. No Access

    Book Chapter

    Pages 637-695

    Variance Reduction Techniques

  18. No Access

    Book Chapter

    Pages 697-753

    Trees and Markov Chain Approximations

  19. No Access

    Book Chapter

    Pages 755-780

    Solutions for Exercises

  20. Back Matter

    Pages 781-856