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Pricing Derivatives Under Lévy Models: Modern Finite-Difference and Pseudo-Differential Operators Approach by Andrey Itkin is a mathematics available to read on EtoBox.
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<p>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 r
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It is typically read by self-directed learners exploring a subject in depth.
Common subject areas: history, science, philosophy, social sciences.
- Author
- Andrey Itkin
- Publisher
- Springer New York, New York, NY
- Published
- 2017
- Language
- EN
- ISBN
- 9781493967926
- Category
- mathematics
- Subjects
- Mathematics, Stochastic Processes, Mathematical Analysis
- Updated
- 2026-03-25
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