Lévy Processes in Finance: Selected applications with theoretical backround

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F11%3A86079329" target="_blank" >RIV/61989100:27510/11:86079329 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Lévy Processes in Finance: Selected applications with theoretical backround
Original language description
The publication is focused on a modern tool of financial modeling ? Lévy processes and their applications in finance. Lévy process is any continuous-time process that starts at zero, can consists of jumps (although, it is cadlag) and corresponds to infinitely divisible probability distribution. It follows that such group of processes is very broad. In finance, however, a special attention is paid to Lévy processes defined in terms of subordinated Brownian motions. Such kind of processes allows one to fit also the higher moments of the empirical distribution of financial assets (log)-returns, skewness and kurtosis in particular. The book is divided into four parts. The first part of the book provides the reader with the basic theoretical background, while some specialties were moved to appendices. Other three parts focus on different applications of Lévy models in finance.
Czech name
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Czech description
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Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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