Lévy processes with applications in financial modelling ·

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