||7 of 7 people found the following review helpful.| Great Book|By Kinderchocolate|The co-author of the book, Nicola Bruti-Liberati is not actually directly involved. He was a student under Eckhard Platen and tragically killed in an accident. Nevethless Bruti-Liberati contributed to a great amount of materaials in the book, the book is in honor of him.
This is a rigorous mathematics book, so expect some ridiculous def|||From the reviews:|“The book is accessible at a graduate student level, though some parts of the book are more advanced. It can also be used by readers with enough mathematical background as a reference book for methods and techniques on numerical appro
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 present monograph builds on the above-mentioned work and provides an introduction...
[PDF.uk70] Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability) Rating: 4.74 (618 Votes)
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