Workgroup Financial Mathematics

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Seminar: Levy Processes and their Applications to Finance

Prof. Dr. F. Biagini, S. Nedelcu

Date and Time

  • Tue 12:15 to 13:45 (Room B 252).

Further Information

  • A Levy process is a process in continuous time with start in 0 and independent stationary increments. Well-known examples of Levy processes are the Brownian motion and the Poisson process. Levy processes have achieved a particular attention in financial mathematics in order to model jumps in the market. In this seminar we will study the theory of Levy processes and its application to financial modelling.
  • Literature: Cont R. und Tamkov P., Financial Modelling with Jump Processes, Chapman and Hall, 2004.
                   Applebaum D., Levy Processes and Stochastic Calculus, Cambridge University Press, 2004.