An introduction to Levy processes with financial modelling in mind

author: Matthias Winkel, University of Oxford
published: Aug. 5, 2008,   recorded: May 2008,   views: 17970


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In this talk I will take some care to introduce the general class of Levy processes as well as the most relevant parametric families. I will explain how these can be used for modelling purposes, directly or as driving processes for more general stochastic processes. As an application, I'll discuss stochastic volatility modelling and some questions arising when doing inference in the presence of jumps, based on joint work with Ole Barndorff-Nielsen and Neil Shephard.

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Comment1 chhai ung, May 13, 2009 at 3:35 p.m.:

hi, could this lecture be reloaded please, server not found. many thanks in advance.

Comment2 Jeannet M, June 22, 2009 at 10:08 p.m.:

Haha, locally compact group...nice

Comment3 Sai, June 24, 2009 at 10:03 a.m.:

Hi, Please reload the page, want to view this lecture desperately, pretty soon. Thanks

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