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.
Buy Premium From My Links To Get Resumable Support,Max Speed & Support Me
Links are Interchangeable – Single Extraction
Leave a Reply
You must be logged in to post a comment.