Ditemukan 1 dokumen yang sesuai dengan query
Cummins, Mark, editor
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...
New York: [Springer, ], 2012
e20419496
eBooks Universitas Indonesia Library
