Pricing Derivatives Under Lévy Models (Record no. 427018)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04478nam a22005175i 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOKNUMBER | |
| International Standard Book Number | 9781493967926 |
| -- | 978-1-4939-6792-6 |
| 024 7# - | |
| -- | 10.1007/978-1-4939-6792-6 |
| -- | doi |
| 040 ## - | |
| -- | ISI Library, Kolkata |
| 050 #4 - | |
| -- | HB135-147 |
| 072 #7 - | |
| -- | KF |
| -- | bicssc |
| 072 #7 - | |
| -- | MAT003000 |
| -- | bisacsh |
| 072 #7 - | |
| -- | KF |
| -- | thema |
| 082 04 - DEWEYDECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Itkin, Andrey. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Pricing Derivatives Under Lévy Models |
| Medium | [electronic resource] : |
| Remainder of title | Modern Finite-Difference and Pseudo-Differential Operators Approach / |
| Statement of responsibility, etc | by Andrey Itkin. |
| 942 ## - ADDED ENTRY ELEMENTS(KOHA) | |
| Koha item type | E-BOOKS |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| -- | author. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | New York, NY : |
| Name of producer, publisher, distributor, manufacturer | Springer New York : |
| -- | Imprint: Birkhäuser, |
| Date of production, publication, distribution, manufacture | 2017. |
| 300 ## - | |
| -- | XX, 308 p. 64 illus., 62 illus. in color. |
| -- | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - | |
| -- | Pseudo-Differential Operators, Theory and Applications, |
| -- | 2297-0355 ; |
| -- | 12 |
| 505 0# - | |
| -- | 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. |
| 520 ## - | |
| -- | 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 rates and jumps. The author also adds extra complexity to the traditional statements of these problems by taking into account jumps in each stochastic component while all jumps are fully correlated, and shows how this setting can be efficiently addressed within the framework of the new method. Written for non-mathematicians, this book will appeal to financial engineers and analysts, econophysicists, and researchers in applied numerical analysis. It can also be used as an advance course on modern finite-difference methods or computational finance. |
| 650 #0 - | |
| -- | Finance. |
| 650 #0 - | |
| -- | Computer science. |
| 650 #0 - | |
| -- | Differential equations, partial. |
| 650 14 - | |
| -- | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 650 24 - | |
| -- | Mathematical Modeling and Industrial Mathematics. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M14068 |
| 650 24 - | |
| -- | Computational Science and Engineering. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M14026 |
| 650 24 - | |
| -- | Partial Differential Equations. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M12155 |
| 710 2# - | |
| -- | SpringerLink (Online service) |
| 773 0# - | |
| -- | Springer eBooks |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9781493967902 |
| 776 08 - | |
| -- | Printed edition: |
| -- | 9781493967919 |
| 830 #0 - | |
| -- | Pseudo-Differential Operators, Theory and Applications, |
| -- | 2297-0355 ; |
| -- | 12 |
| 856 40 - | |
| -- | https://doi.org/10.1007/978-1-4939-6792-6 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 950 ## - | |
| -- | Mathematics and Statistics (Springer-11649) |
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