Multidimensional Feller Processes

  • Norbert Hilber
  • Oleg Reichmann
  • Christoph Schwab
  • Christoph Winter
Part of the Springer Finance book series (FINANCE)


In this chapter, we extend the setting of Chap.  14 to a more general class of processes. We consider a large class of Markov processes in the following. Under certain assumptions we can apply the theory of pseudodifferential operators in order to analyse the arising pricing equations. The dependence structure of the purely discontinuous part of the market model X is described using Lévy copulas. Wavelets are used for the discretization and preconditioning of the arising PIDEs, which are of variable order with the order depending on the jump state.


Option Price Market Model Variable Order Pseudodifferential Operator Infinitesimal Generator 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  • Norbert Hilber
    • 1
  • Oleg Reichmann
    • 2
  • Christoph Schwab
    • 2
  • Christoph Winter
    • 3
  1. 1.Dept. for Banking, Finance, Insurance, School of Management and LawZurich University of Applied SciencesWinterthurSwitzerland
  2. 2.Seminar for Applied MathematicsSwiss Federal Institute of Technology (ETH)ZurichSwitzerland
  3. 3.Allianz Deutschland AGMunichGermany

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