Login
Publications by the same author
plus in the repository
plus in Google Scholar
Bibliografische Daten exportieren		  

MAPLE for Jump-Diffusion Stochastic Differential Equations in Finance

DOI zum Zitieren der Version auf EPub Bayreuth: https://doi.org/10.15495/EPub_UBT_00005493
URN to cite this document: urn:nbn:de:bvb:703-epub-5493-9

Title data

Cyganowski, Sasha ; Grüne, Lars ; Kloeden, Peter E.:
MAPLE for Jump-Diffusion Stochastic Differential Equations in Finance.
Bayreuth , 2002

[thumbnail of gruene_et_al_maple_sde_2002.pdf]
Format: PDF
Name: gruene_et_al_maple_sde_2002.pdf
Version: Published Version
Available under License Creative Commons BY 4.0: Attribution
Download (180kB)

Abstract

The occurrence of shocks in the financial market is well known and, since the 1976 paper of the Noble Prize laureate R.C. Merton, there have been numerous attempts to incorporated them into financial models. Such models often result in jump-diffusion stochastic differential equations. This chapter describes the use of MAPLE for such equations, in particular for the derivation of numerical schemes. It can be regarded as an addendum to the chapter in this book by Higham and Kloeden (Paper [8] on Peter Kloeden's page on MAPLE for SDEs), which can be referred to for general background and additional literature on stochastic differential equations and MAPLE.

Further data

Item Type: Preprint, postprint
Additional notes (visible to public): Erscheint in: Nielsen, Søren S. (Hrsg.): Programming Languages and Systems in Computational Economics and Finance. - Boston : Kluwer Academic Publ. , 2002 . - S. 441-460
DDC Subjects: 500 Science
500 Science > 510 Mathematics
Institutions of the University: Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics) > Chair Mathematics V (Applied Mathematics) - Univ.-Prof. Dr. Lars Grüne
Faculties
Faculties > Faculty of Mathematics, Physics und Computer Science
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics
Faculties > Faculty of Mathematics, Physics und Computer Science > Department of Mathematics > Chair Mathematics V (Applied Mathematics)
Language: English
Originates at UBT: Yes
URN: urn:nbn:de:bvb:703-epub-5493-9
Date Deposited: 12 May 2021 06:01
Last Modified: 21 Jun 2021 08:58
URI: https://epub.uni-bayreuth.de/id/eprint/5493
Download Statistics

Downloads

Downloads per month over past year