In financial and actuarial modeling and other areas of application, stochastic differential
equations with jumps have been employed to describe the dynamics of various state …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We propose a novel Continuation Multi Level Monte Carlo (CMLMC) algorithm for weak
approximation of stochastic models. The CMLMC algorithm solves the given approximation …

We present new algorithms for weak approximation of stochastic differential equations
driven by pure jump Lévy processes. The method uses adaptive non-uniform discretization …

We present an adaptive multilevel Monte Carlo (MLMC) method for weak approximations of
solutions to Itô stochastic differential equations (SDE). The work [Oper. Res. 56 (2008), 607 …

In this paper we consider Runge–Kutta methods for jump–diffusion differential equations.
We present a study of their mean-square convergence properties for problems with …

In this article, we consider multilevel Monte Carlo for the numerical computation of
expectations for stochastic differential equations driven by Lévy processes. The underlying …

The ever-growing appearance of infinitely divisible laws and related processes in various
areas, such as physics, mathematical biology, finance and economics, has fuelled an …

Weak approximations have been developed to calculate the expectation value of functionals
of stochastic differential equations, and various numerical discretization schemes (Euler …

This paper formulates and analyzes a discretization scheme for a jump-diffusion process
with general state-dependent drift, volatility, jump intensity, and jump size. The jump times of …