LIBROS DEL AUTOR: itkin andrey

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  • Pricing Derivatives Under Lévy Models
    Andrey Itkin
    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 f...
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