E-Books →Applications of Lévy Processes
Published by: book79 on 18-03-2024, 01:06 | 
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Free Download Applications of Lévy Processes edited by Oleg Kudryavtsev, Antonino Zanette
English | August 27, 2021 | ISBN: 1536195251 | True PDF | 272 pages | 13.9 MB
Lévy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lévy process in finance is the Black-Scholes model. This book presents important financial applications of Lévy processes. The Editors consider jump-diffusion and pure non-Gaussian Lévy processes, the multi-dimensional Black-Scholes model, and regime-switching Lévy models.
This book is comprised of seven chapters that focus on different approaches to solving applied problems under Lévy processes: Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorisation. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book.
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