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

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

Paperback

Series: Pseudo-Differential Operators, Book 12

General ComputersGeneral Mathematics

ISBN10: 1493967908
ISBN13: 9781493967902
Publisher: Springer Nature
Published: Feb 28 2017
Pages: 308
Weight: 1.16
Height: 0.69 Width: 6.69 Depth: 9.61
Language: English
Basics of a finite-difference method.- Modern finite-difference approach.- An M-matrix theory and FD.- Brief Introduction into Lévy processes.- Pseudo-parabolic and fractional equations of option pricing.- Pseudo-parabolic equations for various Lévy 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.

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General Mathematics