Platen Eckhard: Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Скачать книгу (размер 4 359 Kb , формат fb2, страниц 856) Аннотация: 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…