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Stochastic Simulation and Applications in Finance with MATLAB® Programs (Huynh/Stochastic) || Introduction to Computer Simulation of Random Variables

✍ Scribed by Huynh, Huu Tue; Lai, Van Son; Soumaré, Issouf

Book ID
120442190
Publisher
John Wiley & Sons, Ltd.
Year
2012
Weight
153 KB
Category
Article
ISBN
0470725389

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✍ Platen, Eckhard; Bruti-Liberati, Nicola 📂 Article 📅 2010 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 798 KB

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, descri