| 000 -LEADER |
|---|
| fixed length control field |
04076nam a22004695i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20140310151455.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
|---|
| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
100721s2010 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783642136948 |
|
978-3-642-13694-8 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA273.A1-274.9 |
|
|---|
| Classification number |
QA274-274.9 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519.2 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg, |
| -- |
2010. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Platen, Eckhard. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Numerical Solution of Stochastic Differential Equations with Jumps in Finance |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
by Eckhard Platen, Nicola Bruti-Liberati. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXVI, 856p. 169 illus. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Stochastic Modelling and Applied Probability, |
| International Standard Serial Number |
0172-4568 ; |
| Volume number/sequential designation |
64 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Stochastic Differential Equations with Jumps -- Exact Simulation of Solutions of SDEs -- Benchmark Approach to Finance and Insurance -- Stochastic Expansions -- to Scenario Simulation -- Regular Strong Taylor Approximations with Jumps -- Regular Strong Itô Approximations -- Jump-Adapted Strong Approximations -- Estimating Discretely Observed Diffusions -- Filtering -- Monte Carlo Simulation of SDEs -- Regular Weak Taylor Approximations -- Jump-Adapted Weak Approximations -- Numerical Stability -- Martingale Representations and Hedge Ratios -- Variance Reduction Techniques -- Trees and Markov Chain Approximations -- Solutions for Exercises. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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 to stochastic differential equations with jumps, in both theory and application, emphasizing the numerical methods needed to solve such equations. It presents many new results on higher-order methods for scenario and Monte Carlo simulation, including implicit, predictor corrector, extrapolation, Markov chain and variance reduction methods, stressing the importance of their numerical stability. Furthermore, it includes chapters on exact simulation, estimation and filtering. Besides serving as a basic text on quantitative methods, it offers ready access to a large number of potential research problems in an area that is widely applicable and rapidly expanding. Finance is chosen as the area of application because much of the recent research on stochastic numerical methods has been driven by challenges in quantitative finance. Moreover, the volume introduces readers to the modern benchmark approach that provides a general framework for modeling in finance and insurance beyond the standard risk-neutral approach. It requires undergraduate background in mathematical or quantitative methods, is accessible to a broad readership, including those who are only seeking numerical recipes, and includes exercises that help the reader develop a deeper understanding of the underlying mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Distribution (Probability theory). |
|
|---|
| Topical term or geographic name as entry element |
Economics |
| General subdivision |
Statistics. |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
|
|---|
| Topical term or geographic name as entry element |
Statistics for Business/Economics/Mathematical Finance/Insurance. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Bruti-Liberati, Nicola. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642120572 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-13694-8 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
