References: Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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References

Asmussen, S. and Glynn, P., Stochastic Simulation: Algorithms and Analysis, 2007 (Springer: New York).
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Fernholz, R., Stochastic Portfolio Theory, 2002 (Springer: New York).
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Glasserman, P., Monte Carlo Methods in Financial Engineering, 2003 (Springer: New York).
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Kloeden, P. and Platen, E., Numerical Solutions of Stochastic Diferential Equations, 1992 (Springer-Verlag: Berlin).
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