Applications of Levy Processes (eBook, PDF)

Redaktion: Oleg Kudryavtsev

• Format: PDF

Produktbeschreibung

Levy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Levy process in finance is the Black-Scholes model. This book presents important financial applications of Levy processes. The Editors consider jump-diffusion and pure non-Gaussian Levy processes, the multi-dimensional Black-Scholes model, and regime-switching Levy models. This book is comprised of seven chapters that focus on different approaches to solving applied problems under Levy processes: Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorization. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book.

---

Dieser Download kann aus rechtlichen Gründen nur mit Rechnungsadresse in A, B, BG, CY, CZ, D, DK, EW, E, FIN, F, GR, HR, H, IRL, I, LT, L, LR, M, NL, PL, P, R, S, SLO, SK ausgeliefert werden.

Produktdetails

• Verlag: Nova Science Publishers Inc
• Seitenzahl: 259
• Erscheinungstermin: 14. September 2021
• Englisch
• ISBN-13: 9781536198492
• Artikelnr.: 72331116