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Pricing Derivatives Under Lévy Models : Modern Finite-Difference and Pseudo-Differential Operators Approach by Andrey Itkin (auth.) is a science book available to read on EtoBox.

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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 theory of finite-difference schemes, is new as applied to the Lévy processes in finance, and is herein presented for the first time in a single volume. The results within, developed in a series of research papers, are collected and arranged together with the necessary background material from Lévy processes, the modern theory of finite-difference schemes, the theory of M-matrices and EM-matrices, etc., thus forming a self-contained work that gives the reader a smooth introduction to the subject. For readers with no knowledge of finance, a short explanation of the main financial terms and notions used in the book is given in the glossary. The latter part of the book demonstrates the efficacy of the method by solving some typical problems encountered in computational finance, including structural default models with jumps, and local stochastic volatility models with stochastic interest rate

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

Author

Andrey Itkin (auth.)

Publisher

Springer New York Imprint : Birkhäuser

Published

2017

Language

EN

ISBN

9781493967919

Category

science

Subjects

Mathematics, Business, Science

Updated

2026-03-25