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This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential type) and related analytical methods similar to the initial Merton-Black-Scholes approach, which the authors call the Merton-Black-Scholes theory. The authors have chosen applications interesting for financial engineers and specialists in financial economics, real options, and partial differential equations (especially pseudodifferential operators); specialists in stochastic processes will benefit from the use of the pseudodifferentia

Finance -- Mathematical models. --- Finance --- Business & Economics --- Finance - General --- Mathematical models --- 519.218 --- Special stochastic processes --- 519.218 Special stochastic processes --- Mathematical models. --- E-books