Numerical solution of stochastic differential equations with jumps in finance/ (Record no. 170355)
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000 -LEADER | |
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fixed length control field | 00413nam a2200145Ia 4500 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9783642120572 |
040 ## - CATALOGING SOURCE | |
Transcribing agency | CUS |
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 515.35 |
Item number | PLA/ |
100 ## - MAIN ENTRY--PERSONAL NAME | |
Personal name | Platen, Eckhard |
245 #0 - TITLE STATEMENT | |
Title | Numerical solution of stochastic differential equations with jumps in finance/ |
Statement of responsibility, etc. | Eckhard Platen and Nicola Bruti-Liberati |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication, distribution, etc. | New York: |
Name of publisher, distributor, etc. | Springer, |
Date of publication, distribution, etc. | 2010. |
300 ## - PHYSICAL DESCRIPTION | |
Extent | xxviii, 856 p. : |
Other physical details | ill. ; |
Dimensions | 25 cm. |
440 ## - SERIES | |
Title | (Stochastic modelling and applied probability), |
Volume/sequential | 64 |
505 ## - FORMATTED CONTENTS NOTE | |
Formatted contents note | 1. SDEs with Jumps --<br/>2. Exact Simulation of Solutions of SDEs --<br/>3. Benchmark Approach to Finance --<br/>4. Stochastic Expansions --<br/>5. Introduction to Scenario Simulation --<br/>6. Regular Strong Taylor Approximations --<br/>7. Regular Strong Ito Approximations --<br/>8. Jump-Adapted Strong Approximations --<br/>9. Estimating Discretely Observed Diffusions --<br/>10. Filtering --<br/>11. Monte Carlo Simulation of SDEs --<br/>12. Regular Weak Taylor Approximations --<br/>3. Jump-Adapted Weak Approximations --<br/>14. Numerical Stability --<br/>15. Martingale Representations and Hedge Ratios --<br/>16. Variance Reduction Techniques --<br/>17. Trees and Markov Chain Approximations --<br/>18. Solutions for Exercises. |
650 ## - SUBJECT | |
Keyword | Stochastic differential equations |
650 ## - SUBJECT | |
Keyword | Jump processes |
650 ## - SUBJECT | |
Keyword | Distribution (Probability theory) |
650 ## - SUBJECT | |
Keyword | Statistics |
650 ## - SUBJECT | |
Keyword | Mathematics |
700 ## - ADDED ENTRY--PERSONAL NAME | |
Personal name | Bruti-Liberati, Nicola |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | General Books |
Withdrawn status | Lost status | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Full call number | Accession number | Date last seen | Koha item type |
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Central Library, Sikkim University | Central Library, Sikkim University | General Book Section | 27/10/2016 | 515.35 PLA/ | P25333 | 29/08/2016 | General Books |