simulation gbm with jumps

march schrieb:

Hi everybody
I'd like to simulate a Generalized Wiener Process with jumps. Any
suggestion?
  

This seems to be a quite general task. Is the jump activity of the 
concerning process finite (as, e.g., in Merton jump-diffusions)? Which 
characteristics of the process have to be simulated? Whole paths or just 
final values?
The books of Wim Schoutens (L?vy Processes in Finance, 2003, Wiley) and 
Rama Cont/Peter Tankov (Financial Modelling with Jump Processes, 2004, 
Chapman&Hall) may be good starting points.

Thanks
Marcella
  

Regards,

  Martin Becker

The books of ...

just to add one:
Glasserman, Paul: "Monte Carlo Methods in Financial Engineering"
Springer Series: Stochastic Modelling and Applied Probability , Vol.
53

Thomas

For merton that is poisson jumps with jump size being lognormal it is fairly easy with ?rpoisson and ?rnorm. And 
simillarly for schouten's nig there is dnig. There is a nice paper on simulating from the inverse gamma by nick webber and is fairly easy to do in R as well.

Best
Kris
Sent from my BlackBerry? wireless handheld  

-----Original Message-----
From: "Thomas Steiner" <finbref.2006 at gmail.com>
Date: Thu, 11 Jan 2007 17:00:55 
To:"Martin Becker" <martin.becker at mx.uni-saarland.de>
Cc:r-sig-finance at stat.math.ethz.ch, march <marcella.marinelli at uniroma1.it>
Subject: Re: [R-SIG-Finance] simulation gbm with jumps

The books of ...

just to add one:
Glasserman, Paul: "Monte Carlo Methods in Financial Engineering"
Springer Series: Stochastic Modelling and Applied Probability , Vol.
53

Thomas

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