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

• Main Author: Itkin, Andrey (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Birkhäuser, 2017.
• Series: Pseudo-Differential Operators, Theory and Applications, 12
• Subjects: 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...