wyszukanych pozycji: 2
Topics in Numerical Methods for Finance
ISBN: 9781461434320 / Angielski / Twarda / 2012 / 204 str. Termin realizacji zamówienia: ok. 20 dni roboczych. Presenting state-of-the-art methods in the area, this book examines weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement.
Presenting state-of-the-art methods in the area, this book examines weak discrete time approximations of jump-diffusion stochastic differential equati...
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cena:
389,09 zł |
Topics in Numerical Methods for Finance
ISBN: 9781489973559 / Angielski / Miękka / 2014 / 204 str. Termin realizacji zamówienia: ok. 20 dni roboczych. Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the...
Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic...
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cena:
389,09 zł |