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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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Cover of 'Numerical Solution of Stochastic Differential Equations with Jumps in Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Stochastic Differential Equations with Jumps
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    Chapter 2 Exact Simulation of Solutions of SDEs
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    Chapter 3 Benchmark Approach to Finance and Insurance
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    Chapter 4 Stochastic Expansions
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    Chapter 5 Introduction to Scenario Simulation
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    Chapter 6 Regular Strong Taylor Approximations with Jumps
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    Chapter 7 Regular Strong Itô Approximations
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    Chapter 8 Jump-Adapted Strong Approximations
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    Chapter 9 Estimating Discretely Observed Diffusions
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    Chapter 10 Filtering
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    Chapter 11 Monte Carlo Simulation of SDEs
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    Chapter 12 Regular Weak Taylor Approximations
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    Chapter 13 Jump-Adapted Weak Approximations
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    Chapter 14 Numerical Stability
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    Chapter 15 Martingale Representations and Hedge Ratios
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    Chapter 16 Variance Reduction Techniques
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    Chapter 17 Trees and Markov Chain Approximations
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    Chapter 18 Solutions for Exercises
Attention for Chapter 17: Trees and Markov Chain Approximations
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