  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.
