Jump-adapted discretization schemes for Lévy-driven SDEs (Q607278): Difference between revisions

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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Processes of normal inverse Gaussian type
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+Strong approximations of stochastic differential equations with jumps
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+Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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+Financial Modelling with Jump Processes
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+On the Hellinger type distances for filtered experiments
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+The Lévy LIBOR model
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+The Term Structure of Simple Forward Rates with Jump Risk
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+Solving Ordinary Differential Equations I
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+The approximate Euler method for Lévy driven stochastic differential equations
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+Adaptive Weak Approximation of Diffusions with Jumps
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+Monte Carlo option pricing for tempered stable (CGMY) processes
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+The Euler scheme for Lévy driven stochastic differential equations
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+Tempering stable processes
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+Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
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