Bibliografia

Principal

  • D. Applebaum (2009) Lévy Processes and Stochastic Calculus 2nd. Edition, Cambridge University Press
  • R. Cont and P. Tankov (2003) Financial modelling with Jump Processes Chapman & Hall / CRC Press
  • João Guerra (2012) Lecture Notes - Lévy Processes and Applications ISEG, 2012

Secundária

  • A. Papapantoleon (2008) An introduction to Lévy processes with applications in finance Lecture notes, TU Vienna
  • B. Oksendal and A. Sulem (2007) Applied Stochastic Control of Jump Diffusions 2nd. Edition, Springer
  • Wim Schoutens (2003) Lévy Processes in Finance John Wiley & Sons
  • K.-I. Sato (1999) Lévy Processes and Infinitely Divisible Distributions Cambridge University Press