Multiscale Analysis for Jump Processes in Finance

DOI10.1007/978-3-540-69777-0_49zbMath1154.91473MaRDI QIDQ5503117

No author found.

Publication date: 12 January 2009

Published in: Numerical Mathematics and Advanced Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-69777-0_49

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs

91G80: Financial applications of other theories

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces