Numerical Solution of Stochastic Differential Equations with Jumps in Finance (Stochastic Modelling and Applied Probability)
From the reviews:“The book is accessible at a graduate student level, though some parts of the book are more advanced. It can also be used by readers with enough mathematical background as a reference book for methods and techniques on numerical approximations of SDEs. … contains an extensive up-to-date bibliography, including bibliographic notes for each chapter, making it an excellent reference source on numerical solutions of SDEs with jumps. The book is very well written and can be used as a textbook for a graduate level course.” (Igor Cialenco, Mathematical Reviews, Issue 2012 b)“This research monograph by Eckhard Platen and Nicola Bruti-Liberati gives a comprehensive account of the theory of numerical approximation of solutions of stochastic differential equations driven by jump processes. … The material is supplemented by a large number of exercises. The underlying principles are carefully explained and well motivated by the authors. … I enjoyed very much the lucid and clear writing style of the exposition in combination with many interesting examples from mathematical finance.” (H. M. Mai, Zentralblatt MATH, Vol. 1225, 2012)