Pricing Derivatives Under Lévy Models : Modern Finite-Difference and Pseudo-Differential Operators Approach / Andrey Itkin

• Autore: Itkin, Andrey L.
• Pubblicazione: Cham, : Birkhauser, 2017
• Titolo uniforme: Pricing Derivatives Under Lévy Models
• Descrizione fisica: xx, 308 p. : ill. ; 24 cm
• Soggetto topico: 35S05 - Pseudodifferential operators as generalizations of partial differential operators [MSC 2020]; 91Gxx - Actuarial science and mathematical finance [MSC 2020]; 65M06 - Finite difference methods for initial value and initial-boundary value problems involving PDEs [MSC 2020]; 65M12 - Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs [MSC 2020]; 47N40 - Applications of operator theory in numerical analysis [MSC 2020]
• Soggetto non controllato: Calibration; Computational finance; Finite-Difference Schemes; Finite-difference methods; Integral Transforms; Lévy processes; Option pricing; Partial differential equations; Quantitative Finance; Stochastic skew model
• Titolo autorizzato: Pricing Derivatives Under Lévy Models
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: VAN0123462
• Lo trovi qui: Univ. Vanvitelli
• Localizzazioni e accesso elettronico: http://doi.org/10.1007/978-1-4939-6792-6
• Serie: Pseudo-differential operators : theory and applications Basel [etc.] . -Birkhäuser ; 12