A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2008; you can also visit the original URL.
The file type is application/pdf
.
On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance
[chapter]
2012
Topics in Numerical Methods for Finance
Event-driven uncertainties such as corporate defaults, operational failures or central bank announcements are important elements in the modelling of financial quantities. Therefore, stochastic differential equations (SDEs) of jumpdiffusion type are often used in finance. We consider in this paper weak discrete time approximations of jump-diffusion SDEs which are appropriate for problems such as derivative pricing and the evaluation of risk measures. We present regular and jump-adapted
doi:10.1007/978-1-4614-3433-7_1
fatcat:haex7kidwvhwlh5ps5wpoexf4a