Numerical solution of stochastic differential equations with jumps in finance by Eckhard Platen and Nicola Bruti-Liberati
Kloeden & Platen: (1992). This monograph builds on Platen & Kloeden’s 1992 work Numerical Solution of Stochastic Differential and provides an introduction to both the theory and applications of stochastic differential equations with jumps. It presents many new results on higher-order methods for scenario and Monte Carlo simulation.
