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

By Andrey Itkin

Basics of a finite-difference method.- Modern finite-difference approach.- An M-matrix theory and FD.- Brief Introduction into L?vy processes.- Pseudo-parabolic and fractional equations of option pricing.- Pseudo-parabolic equations for various L?vy models.- High-order splitting methods for forward PDEs and PIDEs.- Multi-dimensional structural default models and correlated jumps.- LSV models with stochastic interest rates and correlated jumps.- Stochastic skew model.- Glossary.- References.- Index.

• Format: Paperback
• Language: English
• ISBN: 1493967908
• ISBN13: 9781493967902
• Release Date: February 2017
• Publisher: Birkhauser
• Length: 308 Pages
• Weight: 1.16 lbs.
• Dimensions: 0.7" x 6.7" x 9.6"