Lévy processes with applications in financial modelling ·

Relatore:  Giulia Di Nunno - University of Oslo
  lunedì 6 giugno 2016 alle ore 14.30
 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.

Luca Di Persio

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Data pubblicazione
20 aprile 2016

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