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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Bag 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783662519738
  • Indbinding:
  • Paperback
  • Sideantal:
  • 856
  • Udgivet:
  • 23. august 2016
  • Udgave:
  • 12010
  • Størrelse:
  • 236x157x53 mm.
  • Vægt:
  • 1310 g.
  • 8-11 hverdage.
  • 6. december 2024

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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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