Pricing Derivatives Under Lévy Models

Modern Finite-Difference and Pseudo-Differential Operators Approach

Nonfiction, Science & Nature, Mathematics, Applied, Computers, Advanced Computing, Computer Science, Business & Finance
Cover of the book Pricing Derivatives Under Lévy Models by Andrey Itkin, Springer New York
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Andrey Itkin ISBN: 9781493967926
Publisher: Springer New York Publication: February 27, 2017
Imprint: Birkhäuser Language: English
Author: Andrey Itkin
ISBN: 9781493967926
Publisher: Springer New York
Publication: February 27, 2017
Imprint: Birkhäuser
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer New York

Cover of the book Accounting and Regulation by Andrey Itkin
Cover of the book The Ideal Result by Andrey Itkin
Cover of the book X-Ray Fluorescence Spectrometry (XRF) in Geoarchaeology by Andrey Itkin
Cover of the book Hermitian Analysis by Andrey Itkin
Cover of the book The Professional Practice of Environmental Management by Andrey Itkin
Cover of the book Chemical and Physical Behavior of Human Hair by Andrey Itkin
Cover of the book Diagnosis of Small Lung Biopsy by Andrey Itkin
Cover of the book Gender Roles in Immigrant Families by Andrey Itkin
Cover of the book Primate Laterality by Andrey Itkin
Cover of the book FPGA Design by Andrey Itkin
Cover of the book The Hippo Signaling Pathway and Cancer by Andrey Itkin
Cover of the book Management of Musculoskeletal Injuries in the Trauma Patient by Andrey Itkin
Cover of the book Molecular Pathogenesis of Colorectal Cancer by Andrey Itkin
Cover of the book Plant-derived Natural Products by Andrey Itkin
Cover of the book Full Stride by Andrey Itkin
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy