Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Eckhard Platen, Nicola Bruti-Liberati
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, 2016
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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).
- ISBN-13
- 9783662519738
- ISBN-10
- 3662519739
- Publisher
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Year
- 2016
- Publication date
- 2016-08-23
- Pages
- 856
- Dimensions
- 157x236x53
- Weight
- 1310