Bøger af Eckhard Platen

This research monograph provides an introduction to tractable multidimensional diffusion models. It also offers an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals.

This volume provides an introduction to stochastic differential equations with jumps, in both theory and application. The book is accessible and contains many new results on numerical methods but also innovative methodologies in quantitative finance.

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory.

The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations.

This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations.