Lévy Processes

Olivier Le Courtois and Christian Walter ()

Chapter 4 in Extreme Financial Risks and Asset Allocation, 2014, pp 53-75 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Lévy processes constitute the class of stochastic processes with independent and stationary increments. With the exception of Brownian motion with drift, they consist entirely of jumps. These processes are used throughout this book to represent the evolution of the returns of financial instruments. The books by Bertoin (1996), Satō (1999), and Applebaum (2009) present many results about Lévy processes and describe many of their properties. Schoutens (2003) and Cont and Tankov (2004) also give a mathematical exposition of these processes, but then focus on the pricing of financial derivatives…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
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