Multiscale Analysis for Jump Processes in Finance

N. Reich ()
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N. Reich: ETH Zurich, Seminar for Applied Mathematics

A chapter in Numerical Mathematics and Advanced Applications, 2008, pp 415-422 from Springer

Abstract: 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.

Keywords: Stochastic Volatility; Jump Process; Martingale Measure; Compression Scheme; Multiscale Analysis (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-69777-0_49

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DOI: 10.1007/978-3-540-69777-0_49

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