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Pricing Derivatives Under Lévy Models

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Cover of 'Pricing Derivatives Under Lévy Models'

Table of Contents

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    Book Overview
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    Chapter 1 Basics of the Finite Difference Method
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    Chapter 2 Modern Finite Difference Approach
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    Chapter 3 An M-Matrix Theory and FD
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    Chapter 4 A Brief Introduction to Lévy Processes
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    Chapter 5 Pseudoparabolic and Fractional Equations of Option Pricing
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    Chapter 6 Pseudoparabolic Equations for Various Lévy Models
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    Chapter 7 High-Order Splitting Methods for Forward PDEs and PIDEs
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    Chapter 8 Multidimensional Structural Default Models and Correlated Jumps
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    Chapter 9 LSV Models with Stochastic Interest Rates and Correlated Jumps
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    Chapter 10 Stochastic Skew Model
Attention for Chapter 5: Pseudoparabolic and Fractional Equations of Option Pricing
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Chapter title
Pseudoparabolic and Fractional Equations of Option Pricing
Chapter number 5
Book title
Pricing Derivatives Under Lévy Models
Published by
Birkhäuser, New York, NY, January 2017
DOI 10.1007/978-1-4939-6792-6_5
Book ISBNs
978-1-4939-6790-2, 978-1-4939-6792-6
Authors

Andrey Itkin

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