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First Order Strong Approximations of Jump Diffusions by Nicola Bruti-Liberati; Christina Nikitopoulos-Sklibosios; Eckhard Platen is a Mathematics article available to read on EtoBox.

What is First Order Strong Approximations of Jump Diffusions about?

This paper presents new results on strong numerical schemes, which are appropriate for scenario analysis, filtering and hedge simulation, for stochastic differential equations (SDEs) of jump-diffusion type. It provides first order strong approximations for jump-diffusion SDEs driven by Wiener processes and Poisson random measures. The paper covers first order derivative-free, drift-implicit and jump-adapted strong approximations. Moreover, it provides a commutativity condition under which the computational effort of first order strong schemes is independent of the total intensity of the jump measure. Finally, a numerical study on the accuracy of several strong schemes applied to the Merton model is presented.

Who reads First Order Strong Approximations of Jump Diffusions?

Author

Nicola Bruti-Liberati; Christina Nikitopoulos-Sklibosios; Eckhard Platen

Publisher

Walter de Gruyter GmbH

Published

2006

Language

EN

Field

Mathematics (Physical Sciences)