000			00413nam a2200145Ia 4500
999			_c170355 _d170355
020			_a9783642120572
040			_cCUS
082			_a515.35 _bPLA/
100			_aPlaten, Eckhard
245		0	_aNumerical solution of stochastic differential equations with jumps in finance/ _cEckhard Platen and Nicola Bruti-Liberati
260			_aNew York: _bSpringer, _c2010.
300			_axxviii, 856 p. : _bill. ; _c25 cm.
440			_a(Stochastic modelling and applied probability), _v64
505			_a1. SDEs with Jumps -- 2. Exact Simulation of Solutions of SDEs -- 3. Benchmark Approach to Finance -- 4. Stochastic Expansions -- 5. Introduction to Scenario Simulation -- 6. Regular Strong Taylor Approximations -- 7. Regular Strong Ito Approximations -- 8. Jump-Adapted Strong Approximations -- 9. Estimating Discretely Observed Diffusions -- 10. Filtering -- 11. Monte Carlo Simulation of SDEs -- 12. Regular Weak Taylor Approximations -- 3. Jump-Adapted Weak Approximations -- 14. Numerical Stability -- 15. Martingale Representations and Hedge Ratios -- 16. Variance Reduction Techniques -- 17. Trees and Markov Chain Approximations -- 18. Solutions for Exercises.
650			_aStochastic differential equations
650			_aJump processes
650			_aDistribution (Probability theory)
650			_aStatistics
650			_aMathematics
700			_aBruti-Liberati, Nicola
942			_cWB16