Pricing Derivatives Under Lévy Models Modern Finite-Difference and Pseudo-Differential Operators Approach /

• Κύριος συγγραφέας: Itkin, Andrey (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: New York, NY : Springer New York : Imprint: Birkhäuser, 2017.
• Σειρά: Pseudo-Differential Operators, Theory and Applications, 12
• Θέματα: Mathematics.; Partial differential equations.; Economics, Mathematical.; Computer mathematics.; Mathematical models.; Quantitative Finance.; Mathematical Modeling and Industrial Mathematics.; Computational Science and Engineering.; Partial Differential Equations.

This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the t...