Speaker:
Giulia Di Nunno
- University of Oslo
Monday, June 6, 2016
at
2:30 PM
Lévy processes an introduction
· infinitely divisible distributions, characteristic function and Lévy-Khinchine formula
· Lévy-Ito decomposition
· Lévy measure, path and moment properties.
· Some classes of Lévy processes of particular interest
· Lévy processes and stochastic calculus
· Ito formula for Lévy processes
· Girsanov theorem, Esscher transform
· Asset price modelling
· price models based on exponential Lévy process
· real-world measure and risk-neutral measure, market incompleteness
· examples of models
·Pricing of financial derivatives in the models introduced.
·(if time permits) Introduction to hedging and portfolio representations.
- Programme Director
-
Luca
Di Persio
-
External reference
-
- Publication date
-
April 20, 2016
