Pricing Derivatives Under Levy Models by Andrey Itkin
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.
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Functional Analysis Methods for Reliability Models
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Pseudodifferential Analysis, Automorphic Distributions in the Plane and Modular Forms
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The Localization Problem in Index Theory of Elliptic Operators
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Symplectic Methods in Harmonic Analysis and in Mathematical Physics
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Solvable Algebras of Pseudodifferential Operators
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The Weyl Operator and its Generalization
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Quantization and Arithmetic
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Pseudodifferential Methods in Number Theory
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Non-Self-Adjoint Differential Operators, Spectral Asymptotics and Random Perturbations
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Discrete Fourier Analysis
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Pseudodifferential Operators with Automorphic Symbols
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Pseudo-Differential Operators and Symmetries
| SKU | Unavailable |
| ISBN 13 | 9781493967902 |
| ISBN 10 | 1493967908 |
| Title | Pricing Derivatives Under Levy Models |
| Author | Andrey Itkin |
| Series | Pseudo-Differential Operators |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Springer-Verlag New York Inc. |
| Year published | 2017-02-28 |
| Number of pages | 308 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |