Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Splitting and Matrix Exponential approach for jump-diffusion models with
  Inverse Normal Gaussian, Hyperbolic and Meixner jumps   This paper is a further extension of the method proposed in Itkin, 2014 as
applied to another set of jump-diffusion models: Inverse Normal Gaussian,
Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish few
steps. First, a second-order operator splitting on financial processes
(diffusion and jumps) is applied to these PIDEs. To solve the diffusion
equation, we use standard finite-difference methods. For the jump part, we
transform the jump integral into a pseudo-differential operator and construct
its second order approximation on a grid which supersets the grid that we used
for the diffusion part. The proposed schemes are unconditionally stable in time
and preserve positivity of the solution which is computed either via a matrix
exponential, or via P'ade approximation of the matrix exponent. Various
numerical experiments are provided to justify these results.

15
The categories of this paper are: nucl-ex
18
The categories of this paper are: econ
19
The categories of this paper are: eess
8
The categories of this paper are: hep-ex
21
The categories of this paper are: adap-org
32
The categories of this paper are: atom-ph
14
The categories of this paper are: math-ph
30
The categories of this paper are: q-alg
36
The categories of this paper are: cmp-lg
27
The categories of this paper are: comp-gas
10
The categories of this paper are: q-bio
31
The categories of this paper are: ao-sci
16
The categories of this paper are: stat
23
The categories of this paper are: solv-int
37
The categories of this paper are: supr-con
7
The categories of this paper are: hep-th