Lévy Processes

Monique Jeanblanc (), Marc Yor and Marc Chesney
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Monique Jeanblanc: Université d’Evry
Marc Yor: Université Paris VI
Marc Chesney: Universität Zürich

Chapter 11 in Mathematical Methods for Financial Markets, 2009, pp 591-646 from Springer

Abstract: 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 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-1-84628-737-4_11

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DOI: 10.1007/978-1-84628-737-4_11

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