Multiscale Analysis for Jump Processes in Finance

DOI10.1007/978-3-540-69777-0_49zbMath1154.91473OpenAlexW1004921420MaRDI QIDQ5503117

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Publication date: 12 January 2009

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69777-0_49

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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