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dc.contributor.author
Reichmann, Oleg
dc.date.accessioned
2017-06-09T18:11:10Z
dc.date.available
2017-06-09T18:11:10Z
dc.date.issued
2011
dc.identifier.uri
http://hdl.handle.net/20.500.11850/43420
dc.description.abstract
We analyze the discretization of non-local degenerate integrodifferential equations arising as so-called forward equations for jump-diffusion processes, in particular in option pricing problems when dealing with Lévy driven stochastic volatility models. Well-posedness of the arising equations is addressed. We develop and analyse stable discretization schemes. A discontinuous Galerkin (DG) Finite Element Method is analyzed. In the DG-FEM, a new regularization of hypersingular integrals in the Dirichlet Form of the pure jump part of infinite variation processes is proposed. Robustness of the stabilized discretization with respect to various degeneracies in the characteristic triple of the stochastic process is proved. We provide in particular an hp-error analysis of the DG-FEM and numerical experiments.
dc.language.iso
en
dc.publisher
Politecnico di Milano, Dipartimento di Matematica
dc.title
DG-FEM for Option Pricing in Levy Models
dc.type
Presentation
ethz.event
Colloquium in Applied Mathematics
ethz.event.location
Milano, Italy
ethz.event.date
January 11, 2011
ethz.notes
Invited Talk.
ethz.publication.place
Milano
ethz.publication.status
unpublished
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02501 - Seminar für Angewandte Mathematik / Seminar for Applied Mathematics::03435 - Schwab, Christoph / Schwab, Christoph
ethz.date.deposited
2017-06-09T18:11:21Z
ethz.source
ECIT
ethz.identifier.importid
imp59364eca5e03237446
ethz.ecitpid
pub:71998
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-13T18:03:01Z
ethz.rosetta.lastUpdated
2018-10-01T15:04:05Z
ethz.rosetta.versionExported
true
ethz.COinS
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