Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
We describe an Euler scheme to approximate solutions of Lévy driven stochastic differential equations (SDEs) where the grid points are given by the arrival times of a Poisson process and thus are ...
This is a preview. Log in through your library . Abstract A compound Poisson process whose randomized time is an independent Poisson process is called a compound Poisson process with Poisson ...
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