The expected discounted penalty with downside jumps has been extensively studied in Gerber and Shiu(1998), Gerber and Landry(1998), Tsai and Wilmott(2002) and others. In this paper, we study the expected discounted penalty in a perturbed compound Poisson model with two sided jumps. We show that it is always twice continuously differentiable provided that the jump size distribution has a bounded...

In this second part of paper the description of conservative averaging method for partial differential (or integro-differential) equation with discontinuous coefficients in cylinder type domain is given. The conservative averaging is carried out in two orthogonal directions. Different types of boundary conditions are examined. Key-Words: partial differential equations, discontinuous coefficient...

In this paper a numerical technique based on the B-spline method is presented for the solution of Fredholm integro-differential equations. To illustrate the efficiency of the method some examples are introduced and the results are compared with the exact solution.  

In this paper a closed form solution of a fractional integro-differential equation of Volterra type involving Mittag-Leffler function has been obtained using straight forward technique of Sumudu transform. Some particular cases have also been considered.

Integro-partial differential equations occur in many contexts in mathematical physics. Typical examples include time-dependent diffusion equations containing a parameter ~e.g., the temperature! that depends on integrals of the unknown distribution function. The standard approach to solving the resulting nonlinear partial differential equation involves the use of predictor–corrector algorithms, ...

We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence solves a parabolic partial differential equation (not an integro-differential equation). As a result we obtain a fast numerical approximation scheme whose accurac...