Sim.DiffProc (version 1.0)

Sim.DiffProc-package: Simulation of Diffusion Processes.

Description

Simulation of diffusion processes and numerical solution of stochastic differential equations. Analysis of discrete-time approximations for stochastic differential equations (SDE) driven by Wiener processes,in financial and actuarial modeling and other areas of application.

Details

ll{ Package: Sim.DiffProc Type: Package Version: 1.0 Date: 2010-12-28 License: GPL LazyLoad: yes }

References

1. Franck Jedrzejewski. Modeles aleatoires et physique probabiliste, Springer, 2009.
2. T. Rolski, H. Schmidli, V. Schmidt and J. Teugels, Stochastic Processes for Insurance and Finance,John Wiley & Sons, 1998.
3. Fima C Klebaner. Introduction to stochastic calculus with application (Second Edition), Imperial College Press (ICP), 2005.
4. LAWRENCE C.EVANS. An introduction to stochastic differential equations (Version 1.2), Department of Mathematics (UC BERKELEY).
5. Hui-Hsiung Kuo. Introduction to stochastic integration, Springer, 2006.
6. E.Allen. Modeling with Ito stochastic differential equations, Springer, 2007.
7. Peter E.Kloeden, Eckhard Platen, Numerical solution of stochastic differential equations, Springer, 1995.
8. Douglas Henderson, Peter Plaschko, Stochastic differential equations in science and engineering,World Scientific, 2006.
9. A.Greiner, W.Strittmatter,and J.Honerkamp, Numerical Integration of Stochastic Differential Equations, Journal of Statistical Physics, Vol. 51, Nos. 1/2, 1988.
10. YOSHIHIRO SAITO, TAKETOMO MITSUI, SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS, Ann.Inst.Statist.Math, Vol. 45, No.3,419-432 (1993).
11. FRANCOIS-ERIC RACICOT, RAYMOND THEORET, Finance computationnelle et gestion des risques, Presses de universite du Quebec, 2006.
12. Avner Friedman, Stochastic differential equations and applications, Volume 1, ACADEMIC PRESS, 1975.

Examples

demo(BM2D)
demo(BMEuler)
demo(sim.sde)
demo(COVBM)