Lévy Processes with Applications in Finance
Jiri Panos
Broschiertes Buch

Lévy Processes with Applications in Finance

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More than four decades ago, Fisher Black and Myron Scholes introduced a new model for financial derivatives pricing based on the Brownian motion. This model is nowadays known world-wide as the Black-Scholes model. The Brownian motion is a stochastic process with stationary and independent increments which are normally distributed. However, the Brownian motion is just a member of a whole group of stochastic processes with stationary and independent increments. These processes are collectively known as Lévy processes. We introduce all the essential elements of the probability theory and then th...