Lévy Processes in Finance: Selected applications with theoretical backround

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Lévy Processes in Finance: Selected applications with theoretical backround

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Lévy Processes in Finance: Selected applications with theoretical backround

Popis výsledku anglicky

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.

Druh

B - Odborná kniha

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

ISBN

978-80-248-2536-6

Počet stran knihy

173

Název nakladatele

VŠB-TUO

Místo vydání

Ostrava

Kód UT WoS knihy

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