Login

Itkin, Andrey

Pricing Derivatives Under Lévy Models

Itkin, Andrey - Pricing Derivatives Under Lévy Models, ebook

92,25€

Ebook, PDF with Adobe DRM
ISBN: 9781493967926
DRM Restrictions

PrintingNot allowed
Copy to clipboardNot allowed

Table of contents

Part I. Modern Tools of Computational Finance

1. Basics of the Finite Difference Method
Andrey Itkin

2. Modern Finite Difference Approach
Andrey Itkin

3. An M-Matrix Theory and FD
Andrey Itkin

Part II. Pricing Derivatives Using Lévy Processes

4. A Brief Introduction to Lévy Processes
Andrey Itkin

5. Pseudoparabolic and Fractional Equations of Option Pricing
Andrey Itkin

6. Pseudoparabolic Equations for Various Lévy Models
Andrey Itkin

7. High-Order Splitting Methods for Forward PDEs and PIDEs
Andrey Itkin

Part III. 2D and 3D Cases and Correlated Jumps

8. Multidimensional Structural Default Models and Correlated Jumps
Andrey Itkin

9. LSV Models with Stochastic Interest Rates and Correlated Jumps
Andrey Itkin

10. Stochastic Skew Model
Andrey Itkin

Keywords: Mathematics, Quantitative Finance, Mathematical Modeling and Industrial Mathematics, Computational Science and Engineering, Partial Differential Equations

Author(s)
Publisher
Springer
Publication year
2017
Language
en
Edition
1
Series
Pseudo-Differential Operators
Page amount
20 pages
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9781493967926
Printed ISBN
978-1-4939-6790-2

Similar titles