Titlebook: Numerical Solution of Stochastic Differential Equations with Jumps in Finance; Eckhard Platen,Nicola Bruti-Liberati Textbook 2010 Springer

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Benchmark Approach to Finance and Insurance,ve pricing, actuarial pricing and risk measurement when security price processes are modeled via SDEs with jumps. It follows the benchmark approach developed in Platen & Heath .. The jumps allow for the modeling of event risk in finance, insurance and other areas. The natural benchmark for asset all

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Regular Strong Taylor Approximations with Jumps,e SDEs to have jumps. We present regular strong approximations obtained directly from a truncated Wagner-Platen expansion with jumps. The term regular refers to the time discretizations used to construct these approximations. These do not include the jump times of the Poisson random measure, as oppo

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,Regular Strong Itô Approximations, presented in the previous chapter. These approximations belong to the class of regular strong Itô schemes, which includes derivative-free, implicit and predictor-corrector schemes. More details on some of the results to be presented in this chapter can be found in Bruti-Liberati, Nikitopoulos-Sklib

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