Pricing Derivatives Under Lévy Models

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Itkin, Andrey. Pricing Derivatives Under Lévy Models Modern Finite-Difference and Pseudo-Differential Operators Approach / by Andrey Itkin. -
XX, 308 p. 64 illus., 62 illus. in color. online resource. - (Pseudo-Differential Operators, Theory and Applications, 12) Content notes : 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. 9781493967926 * Finance. Computer science. Differential equations, partial. Quantitative Finance. Mathematical Modeling and Industrial Mathematics. Computational Science and Engineering. Partial Differential Equations. * Series