Pricing Derivatives Under Lévy Models

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

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