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Lévy Processes

  • Monique JeanblancEmail author
  • Marc Yor
  • Marc Chesney
Chapter
  • 3.7k Downloads
Part of the Springer Finance book series (FINANCE)

Abstract

In this chapter, we present briefly Lévy processes and some of their applications to finance.

Keywords

Brownian Motion Poisson Process Characteristic Exponent Contingent Claim Compound Poisson Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London 2009

Authors and Affiliations

  1. 1.Dépt. MathématiquesUniversité d’EvryEvryFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

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