Numerical Solution of Stochastic Differential Equations in Finance (Q3112472)

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Language	Label	Description	Also known as
English	Numerical Solution of Stochastic Differential Equations in Finance	scientific article

Statements

scholarly article

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Numerical Solution of Stochastic Differential Equations in Finance (English)

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Handbook of Computational Finance

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publication date

10 January 2012

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-642-17254-0_19

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The Pricing of Options and Corporate Liabilities

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A Note on the Generation of Random Normal Deviates

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Numerical solutions of stochastic differential equations -- implementation and stability issues

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Numerical methods for strong solutions of stochastic differential equations: an overview

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On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals

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Good random number generators are (not so) easy to find

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Numerical methods for nonlinear stochastic differential equations with jumps

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients

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Numerical solution of SDE through computer experiments. Including floppy disk

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An adaptive Euler-Maruyama scheme for SDEs: convergence and stability

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A new class of random number generators

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Continuous Markov processes and stochastic equations

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A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations

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Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

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Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

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Stochastic differential equations. An introduction with applications.

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Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise

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Numerical Treatment of Stochastic Differential Equations

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Stability Analysis of Numerical Schemes for Stochastic Differential Equations

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Expansion of the global error for numerical schemes solving stochastic differential equations

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Runge-Kutta methods for numerical solution of stochastic differential equations

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Identifiers

zbMATH Open document ID

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10.1007/978-3-642-17254-0_19

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3112472

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