Numerical Solution of Stochastic Differential Equations with Jumps in Finance

Prof. Eckhard Platen holds the Chair in Quantitative Finance at the University of Technology, Sydney. Author of books on numerical methods for stochastic differential equations and recent book on benchmark approach at Springer Verlag. Has written more than 140 papers in finance, insurance and applied mathematics and serves on the editorial boards of five international journals including Mathematical Finance and Quantitative Finance

• 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.