Numerical Solution of Stochastic Differential Equations with Jumps in Finance - Platen, Eckhard a Bruti-Liberati, Nicola

Name: Numerical Solution of Stochastic Differential Equations with Jumps in Finance - Platen, Eckhard a Bruti-Liberati, Nicola
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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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).

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