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This paper is a further extension of the method proposed in Itkin, 2014 asapplied to another set of jump-diffusion models: Inverse Normal Gaussian,Hyperbolic and Meixner. To solve the corresponding PIDEs we accomplish fewsteps. First, a second-order operator splitting on financial processes(diffusion and jumps) is applied to these PIDEs. To solve the diffusionequation, we use standard finite-difference methods. For the jump part, wetransform the jump integral into a pseudo-differential operator and constructits second order approximation on a grid which supersets the grid that we usedfor the diffusion part. The proposed schemes are unconditionally stable in timeand preserve positivity of the solution which is computed either via a matrixexponential, or via P'ade approximation of the matrix exponent. Variousnumerical experiments are provided to justify these results.

Splitting and Matrix Exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps