LIBROS DEL AUTOR: eckhard platen

7 resultados para LIBROS DEL AUTOR: eckhard platen

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  • Numerical Solution of Stochastic Differential Equations with Jumps in Finance
    Eckhard Platen / Nicola Bruti-Liberati
    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...
    Disponible

    175,14 €

  • Functionals of Multidimensional Diffusions with Applications to Finance
    Eckhard Platen / Jan Baldeaux
    This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of function...
    Disponible

    69,17 €

  • Numerical Solution of Stochastic Differential Equations
    Eckhard Platen / Peter E. Kloeden
    The numerical analysis of stochastic differential equations (SDEs) differs significantly from that of ordinary differential equations. This book provides an easily accessible introduction to SDEs, their applications and the numerical methods to solve such equations. From the reviews: 'The authors draw upon their own research and experiences in obviou...
    Disponible

    156,68 €

  • Numerical Solution of Stochastic Differential Equations with Jumps in Finance
    Eckhard Platen / Nicola Bruti-Liberati
    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 Stocha...
    Disponible

    173,78 €

  • A Benchmark Approach to Quantitative Finance
    David Heath / Eckhard Platen
    Preliminaries from Probability Theory.- Statistical Methods.- Modeling via Stochastic Processes.- Diffusion Processes.- Martingales and Stochastic Integrals.- The Itô Formula.- Stochastic Differential Equations.- to Option Pricing.- Various Approaches to Asset Pricing.- Continuous Financial Markets.- Portfolio Optimization.- Modeling Stochastic Volatility.- Minimal Market Model...
    Disponible

    107,26 €

  • A Benchmark Approach to Quantitative Finance
    David Heath / Eckhard Platen
    A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financia...
    Disponible

    62,90 €

  • Numerical Solution of SDE Through Computer Experiments
    Eckhard Platen / Henri Schurz / Peter Eris Kloeden
    This book provides an easily accessible, computationally-oriented introduction into the numerical solution of stochastic differential equations using computer experiments. It develops in the reader an ability to apply numerical methods solving stochastic differential equations. It also creates an intuitive understanding of the necessary theoretical ba...
    Disponible

    84,61 €