Applications of Lévy Processes
-87%
Availability: In Stock

Applications of Lévy Processes

SKU: 9781536198492

Original price was: $195.00.Current price is: $24.99.

Access Applications of Lévy Processes Now. Discount up to 90%

Categories: ,

Additional information

Full Title

Applications of Lévy Processes
Author(s)
Edition
ISBN

9781536198492, 9781536195255
Publisher

Nova
Format

PDF and EPUB

Description

Lévy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lévy process in finance is the Black–Scholes model.
This book presents important financial applications of Lévy processes. The Editors consider jump-diffusion and pure non-Gaussian Lévy processes, the multi-dimensional Black–Scholes model, and regime-switching Lévy models.
This book is comprised of seven chapters that focus on different approaches to solving applied problems under Lévy 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.

Related products