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Applications of Lévy Processes (Mathematics Research Developments)

Probability & Statistics

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Description

Levy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Levy 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 Levy 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 factorization. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book.

Product Specifications

Format: hardcover
ASIN: 1536195251
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Probability & Statistics
Domain: Amazon UK
Release Date: 27 August 2021
Listed Since: 09 August 2021

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Applications of Lévy Processes (Mathematics Research Developments)

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