Numerical Solution of Stochastic Differential Equations in Finance

DOI10.1007/978-3-642-17254-0_19zbMath1229.91347OpenAlexW2106479130MaRDI QIDQ3112472

Timothy Sauer

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_19

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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