Pricing derivatives under Lévy models : modern finite-difference and pseudo-differential operators approach /: modern finite-difference and pseudo-differential operators approach. (2017)

• Record Type: Book
• Further Information: Note: Andrey Itkin.
• Authors: Itkin, Andrey
• Contents: 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.
• Publisher Details: New York, NY : Birkhäuser
• Publication Date: 2017
• Extent: 1 online resource
• Subjects: 519.2/33; Mathematics; Lévy processes; Pricing -- Mathematical models; MATHEMATICS -- Applied; MATHEMATICS -- Probability & Statistics -- General; Lévy processes; Pricing -- Mathematical models; Computers -- Computer Science; Mathematics -- Differential Equations; Mathematical modelling; Maths for scientists; Differential calculus & equations; Finance; Computer science; Differential equations, partial; Finance & accounting; Electronic books
• Languages: English
• ISBNs: 9781493967926; 1493967924
• Related ISBNs: 9781493967902; 1493967908
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed March 13, 2017).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.