An introduction to Levy processes with financial modelling in mind
published: Aug. 5, 2008, recorded: May 2008, views: 3501
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
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.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !