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Pricing Derivatives Under L�vy Models: Modern Finite-Difference and Pseudo-Differential Operators Approach

Current price: $89.99
Pricing Derivatives Under L�vy Models: Modern Finite-Difference and Pseudo-Differential Operators Approach
Pricing Derivatives Under L�vy Models: Modern Finite-Difference and Pseudo-Differential Operators Approach

Barnes and Noble

Pricing Derivatives Under L�vy Models: Modern Finite-Difference and Pseudo-Differential Operators Approach

Current price: $89.99
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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 shastic volatility models with shastic interest rates and jumps. The author also adds extra complexity to the traditional statements of these problems by taking into account jumps in each shastic 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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