Ditemukan 1 dokumen yang sesuai dengan query
Cummins, Mark, editor
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Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in ...
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New York: [Springer, ], 2012
e20419496
eBooks Universitas Indonesia Library
