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Multiscale Analysis for Jump Processes in Finance

In: Numerical Mathematics and Advanced Applications

Author

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  • N. Reich

    (ETH Zurich, Seminar for Applied Mathematics)

Abstract

In this work we illustrate how Finite Element methods can be used for asset pricing in generic multidimensional models with jumps. We describe the corresponding partial integrodifferential equations, discuss the numerical challenges, and briefly illustrate possible remedies such as sparse tensor products and wavelet compression.

Suggested Citation

  • N. Reich, 2008. "Multiscale Analysis for Jump Processes in Finance," Springer Books, in: Karl Kunisch & Günther Of & Olaf Steinbach (ed.), Numerical Mathematics and Advanced Applications, pages 415-422, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-69777-0_49
    DOI: 10.1007/978-3-540-69777-0_49
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