Sumários
Lévy processes - overview
7 Outubro 2016, 11:00 • João Guerra
Lévy processes: overview and general introduction.
The jump-diffusion process.
Infinitely divisible distributions. definition and example.
The Lévy-Khintchine formula: brief introduction.
The Lévy measure: definition and simple example.
How are Lévy processes used inf finance: very brief introduction.
Introduction
3 Outubro 2016, 11:30 • João Guerra
Programme, Bibliography and assessment: general overview.
General motivation and introduction.
The imperfections of the Black-Scholes model.
Lévy process: definition.
The jump-diffusion process.