On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769): Difference between revisions

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+W1995653720
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Non-symmetric translation invariant Dirichlet forms
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+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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+Problèmes unilateraux
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+Q5638656
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+Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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+Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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+Financial Modelling with Jump Processes
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Integro-differential equations for option prices in exponential Lévy models
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+Viscosity Solutions of Hamilton-Jacobi Equations
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+Exponential Hedging and Entropic Penalties
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+On the range of options prices
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+ANISOTROPIC STABLE LEVY COPULA PROCESSES — ANALYTICAL AND NUMERICAL ASPECTS
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+Characterization of dependence of multidimensional Lévy processes using Lévy copulas
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+Fast and accurate pricing of barrier options under Lévy processes
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+Wavelet Galerkin pricing of American options on Lévy driven assets
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+Fast deterministic pricing of options on Lévy driven assets
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+Optimal stopping, free boundary, and American option in a jump-diffusion model
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+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
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+Optimal Control with State-Space Constraint. II
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+Numerical solution of parabolic equations in high dimensions
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