| 書目名稱 | Pricing Derivatives Under Lévy Models |
| 副標題 | Modern Finite-Differ |
| 編輯 | Andrey Itkin |
| 視頻video | http://file.papertrans.cn/756/755102/755102.mp4 |
| 概述 | Introduction of a modern finite-difference approach.Presents few new results on FD schemes for PDEs, including schemes which preserve positivity.Gives the reader a detailed description of the new meth |
| 叢書名稱 | Pseudo-Differential Operators |
| 圖書封面 |  |
| 描述 | .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 rat |
| 出版日期 | Book 2017 |
| 關鍵詞 | calibration; computational finance; finite-difference schemes; integral transforms; option pricing; Levy |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-1-4939-6792-6 |
| isbn_softcover | 978-1-4939-6790-2 |
| isbn_ebook | 978-1-4939-6792-6Series ISSN 2297-0355 Series E-ISSN 2297-0363 |
| issn_series | 2297-0355 |
| copyright | Springer Science+Business Media LLC 2017 |
|Archiver|手機版|小黑屋|
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