[R-SIG-Finance] simulation gbm with jumps

[kriskumar at earthlink.net]

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
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-----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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