Numerical Solution of SDE Through Computer Experiments
(Sprache: Englisch)
This is a computer experimental introduction to the numerical solution of stochastic differential equations. A floppy disk containing Turbo Pascal programs for over 100 problems is provided to enable the reader to develop an intuitive understanding of the issues involved.
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This is a computer experimental introduction to the numerical solution of stochastic differential equations. A floppy disk containing Turbo Pascal programs for over 100 problems is provided to enable the reader to develop an intuitive understanding of the issues involved.
Klappentext zu „Numerical Solution of SDE Through Computer Experiments “
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 background. Software containing programs for over 100 problems is available online.
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 background. Software containing programs for over 100 problems is available online.
Inhaltsverzeichnis zu „Numerical Solution of SDE Through Computer Experiments “
- Preface- Legal Matters
- Introduction
- Background on Probability and Statistics
- Stochastic Differential Equations
- Introduction to Discrete Time Approximation
- Strong Approximations
- Weak Approximations
- Applications
- References
- Subject Index
- List of PC-Exercises
- Frequently Used Notations.
Autoren-Porträt von Peter Eris Kloeden, Eckhard Platen, Henri Schurz
Professor Eckhard Platen is a joint appointment between the School of Finance and Economics and the Department of Mathematical Sciences to the 1997 created Chair in Quantitative Finance at the University of Technology Sydney. Prior to this appointment he was Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He completed a PhD in Mathematics at the Technical University in Dresden in 1975 and obtained in 1985 his Dr. sc. from the Academy of Sciences in Berlin, where he headed at the Weierstrass Institute the Sector of Stochastics. He is co-author of two successful books on Numerical Methods for Stochastic Differential Equations, published by Springer Verlag, and has authored more than 100 research papers in quantitative finance and mathematics.
Bibliographische Angaben
- Autoren: Peter Eris Kloeden , Eckhard Platen , Henri Schurz
- 1993, 1994, XIV, 294 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3540570748
- ISBN-13: 9783540570745
- Erscheinungsdatum: 12.12.2002
Sprache:
Englisch
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