Numerical solution of stochastic differential equations with jumps in finance /
"We present and analyse two implicit methods for Ito stochastic differential equations (SDEs) with Poisson-driven jumps. The first method, SSBE, is a split-step extension of the backward Euler method. The second method, CSSBE, arises from the introduction of a compensated, martingale, form of t...
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| Format: | Book |
| Language: | English |
| Published: |
Berlin ; Heidelberg :
Springer-Verlag,
©2010.
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| Series: | Stochastic modelling and applied probability
64. |
| Subjects: |