[R-SIG-Finance] simulation gbm with jumps

[Martin Becker]

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 (Lévy 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