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出版社：世界圖書出版公司 ISBN：9787510071188 商品編碼：13132946126 品牌：文軒 出版時間：2017-01-01 代碼：125 作者：E.普蘭頓,(
" 作 者:(澳)E.普蘭頓(Eckhard Platen),(澳)N.利伯蒂-布魯迪(Nicola Bruti-Liberati) 著 著  定 價:125 出 版 社:世界圖書出版公司 出版日期:2017年01月01日 頁 數:856 裝 幀:平裝 ISBN:9787510071188  ●PrefacebrSuggestionsfortheReaderbrBasicNotationbrMotivationandBriefSurveybrStochasticDifferentialEquationswithJumpsbrStochasticProcessesbr2SupermartingalesandMartingajesbr3QuadraticVariationandCovariationbr4ItoIntegralbr5ItoFormulabr6StochasticDifferentialEquationsbr7LinearSDEsbr8SDEswithJumpsbr9ExistenceandUniquenessofSolutionsofSDEsbr0Exercisesbr2ExactSimulationofSolutionsofSDEsbr2MotivationofExactSimulationbr22SamplingfromTransitionDistributionsbr23ExactSolutionsof ltidimensionalSDEsbr24FunctionsofExactSolutionsbr25AlmostExactSolutionsbyConditioningbr26AlmostExactSimulationbyTimeChangebr27FunctionalsofSolutionsofSDEsbr28Exercisesbr3BenchmarkApproachtoFinanceandInsurancebr3MarketModelbr32BestPerformingPortfoliobr33SupermartingalePropertyandPricingbr34Diversificationbr35RealWorldPricingUnderSomeModelsbr36RealWorldPricingUndertheMMMbr37BinomialOptionPricingbr38Exercisesbr4StochasticExpansionsbr4IntroductiontoWagnerPlatenExpansionsbr42 ltipleStochasticIntegralsbr43CoefficientFunctionsbr44WagnerPlatenExpansionsbr45Momentsof ltipleStochasticIntegralsbr46Exercisesbr5IntroductiontoScenarioSimulationbr5ApproximatingSolutionsofODEsbr52ScenarioSimulationbr53StrongTaylorSchemesbr54DerivativeFreeStrongSchemesbr55Exercisesbr6RegularStrongTaylorApproximationswithJumpsbr6DiscreteTimeApproximationbr62StrongOrder0TaylorSchemebr63ConunutativityConditionsbr64ConvergenceResultsbr65Lemmaon ltipleItoIntegralsbr66ProofoftheConvergenceTheorembr67Exercisesbr7RegularStrongItoApproximationsbr7ExplicitRegularStrongSchemesbr72DriftImplicitSchemesbr73BalancedImplicitMethodsbr74PredictorCorrectorSchemesbr75ConvergenceResultsbr76Exercisesbr8JumpAdaptedStrongApproximationsbr8IntroductiontoJumpAdaptedApproximationsbr82JumpAdaptedStrongTaylorSchemesbr83JumpAdaptedDerivativeFreeStrongSchemesbr84JumpAdaptedDriftImplicitSchemesbr85PredictorCorrectorStrongSchemesbr86JumpAdaptedExactSimulationbr87ConvergenceResultsbr88NumericalResultsonStrongSchemesbr89ApproximationofPureJumpProcessesbr80Exercisesbr9EstimatingDiscretelyObservedDiffusionsbr9MaximumLikelihoodEstimationbr92DiscretizationofEstimatorsbr93TransformFunctionsforDiffusionsbr94EstimationofAffineDiffusionsbr95AsymptoticsofEstimatingFunctionsbr96EstimatingJumpDiffusionsbr97Exercisesbr0Filteringbr0KalmanBucyFilterbr02HiddenMarkovChainFiltersbr03FilteringaMeanRevertingProcessbr04BalancedMethodinFilteringbr05ABenchmarkApproachtoFilteringinFinancebr06ExercisesbrMonteCarloSimulationofSDEsbrIntroductiontoMonteCarloSimulationbr2WeakTaylorSchemesbr3DerivativeFreeWeakApproximationsbr4ExtrapolationMethodsbr5ImplicitandPredictorCorrectorMethodsbr6Exercisesbr2RegularWeakTaylorApproximationsbr2WeakTaylorSchemesbr22CommutativityConditionsbr23ConvergenceResultsbr24Exercisesbr3JumpAdaptedWeakApproximationsbr3JumpAdaptedWeakSchemesbr32DerivativeFreeSchemesbr33PredictorCorrectorSchemesbr34SomeJumpAdaptedExactWeakSchemesbr35ConvergenceofJumpAdaptedWeakTaylorSchemesbr36ConvergenceofJumpAdaptedWeakSchemesbr37NumericalResultsonWeakSchemesbr38Exercisesbr4NumericalStabilitybr4AsymptoticpStabilitybr42StabilityofPredictorCorrectorMethodsbr43StabilityofSomeImplicitMethodsbr44StabilityofSimplifiedSchemesbr45Exercisesbr5MartingaleRepresentationsandHedgeRatiosbr5GeneralContingentClaimPricingbr52HedgeRatiosforOnedimensionalProcessesbr53ExplicitHedgeRatiosbr54MartingaleRepresentationforNonSmoothPayoffsbr55AbsolutelyContinuousPayoffFunctionsbr56MaximumofSeveralAssetsbr57HedgeRatiosforLookbackOptionsbr58Exercisesbr6VarianceReductionTechniquesbr6VariousVarianceReductionMethodsbr62MeasureTransformationTechniquesbr63DiscreteTimeVarianceReducedEstimatorsbr64ControlVariatesbr65HPVarianceReductionbr66Exercisesbr7TreesandMarkovChainApproxirnationsbr7NumericalEffectsofTreeMethodsbr72EfficiencyofSimplifiedSchemesbr73HigherOrderMarkovChainApproximationsbr74FiniteDifferenceMethodsbr75ConvergenCPTheoremforMarkovChainsbr76Exercisesbr8SolutionsforExercisesbrAcknowledgementsbrBibliographicalNotesbrReferencesbrAuthorIndexbrIndex  金融數學中的帶跳隨機微分方程數值解主要闡述Wiener和 sion過程或者 sion跳度形成的隨機微分方程的離散時間分散值的設計和分析在金融和精算模型中及其他應用領域這樣的跳躍擴散常被用來描述不同狀態變量的動態在金融領域這些可能代表資產價格信用等級股票指數利率外彙彙率或商品價格本書主要介紹離散隨機方程的近似離散值解的有效性和數值穩定性  (澳)E.普蘭頓(Eckhard Platen),(澳)N.利伯蒂-布魯迪(Nicola Bruti-Liberati) 著 著 Eckhard Platen , Nicola Bruti-Liberati都是澳大利亞的金融統計領域的學者。 
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