Andrey Itkin is an Adjunct Professor of computational and algorithmic finance at the Tandon School of Enginering at New York University and Director, Senior Quant Research Associate at Bank of America.

• Basics of a finite-difference method.- Modern finite-difference approach.- An M-matrix theory and FD.- Brief Introduction into Lévy processes.- Pseudo-parabolic and fractional equations of option pricing.- Pseudo-parabolic equations for various Lévy models.- High-order splitting methods for forward PDEs and PIDEs.- Multi-dimensional structural default models and correlated jumps.- LSV models with stochastic interest rates and correlated jumps.- Stochastic skew model.- Glossary.- References.- Index.

Andrey Itkin is an Adjunct Professor of computational and algorithmic finance at the Tandon School of Enginering at New York University and Director, Senior Quant Research Associate at Bank of America.

• Basics of a finite-difference method.- Modern finite-difference approach.- An M-matrix theory and FD.- Brief Introduction into Lévy processes.- Pseudo-parabolic and fractional equations of option pricing.- Pseudo-parabolic equations for various Lévy models.- High-order splitting methods for forward PDEs and PIDEs.- Multi-dimensional structural default models and correlated jumps.- LSV models with stochastic interest rates and correlated jumps.- Stochastic skew model.- Glossary.- References.- Index.

Andrey Itkin is an Adjunct Professor of computational and algorithmic finance at the Tandon School of Enginering at New York University and Director, Senior Quant Research Associate at Bank of America.

• Basics of a finite-difference method.- Modern finite-difference approach.- An M-matrix theory and FD.- Brief Introduction into Lévy processes.- Pseudo-parabolic and fractional equations of option pricing.- Pseudo-parabolic equations for various Lévy models.- High-order splitting methods for forward PDEs and PIDEs.- Multi-dimensional structural default models and correlated jumps.- LSV models with stochastic interest rates and correlated jumps.- Stochastic skew model.- Glossary.- References.- Index.