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Levy Processes In Finance

of Levy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are;

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Applications of Levy Processes

Levy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication;

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Levy Processes & Stochastic Calculus

Levy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic;

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Levy Processes

This 1996 book is a comprehensive account of the theory of Levy processes. This branch of modern probability theory has been developed;

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Encyclopedia of Mathematics and its Applications

for the first time in book form. The authors start with a detailed analysis of Levy processes in infinite dimensions and their reproducing;

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Levy Matters IV

The aim of this volume is to provide an extensive account of the most recent advances in statistics for discretely observed Levy processes;

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Seminaire De Probabilites Xivi

by Mark Yor, this volume contains contributions on branching processes, Levy processes, random walks and martingales and their connection;

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Exotic Option Pricing And Advanced Lévy Models

process. Working with Levy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work;

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Levy Matters III: Levy-Type Processes

This volume presents recent developments in the area of Levy-type processes and more general stochastic processes that behave locally like;

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Applied Diffusion Processes from Engineering to Finance

to the different problems presented in the book. Advanced topics such as nonlinear problems, Levy processes and semi-Markov models;

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Levy Processes And Infinitely Divisible Distributions

Levy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time;

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Levy Processes and Infinitely Divisible Distributions

Levy processes are rich mathematical objects and constitute perhaps the most basic class of stochastic processes with a continuous time;

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Mathematics Of The Bond Market A Levy P

book concerns bond market models in which random elements are represented by Levy processes. These are more flexible than classical models and;

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Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing

extended to market models based on multiscale stochastic volatility, to Levy, additive and certain classes of Feller processes. This book;

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Lévy Processes in Lie Groups

The theory of Levy processes in Lie groups is not merely an extension of the theory of Levy processes in Euclidean spaces. Because of the;

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Advanced Mathematical Methods for Finance

the use of Brownian motion, Levy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced;

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Advanced Mathematical Methods for Finance

the use of Brownian motion, Levy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced;

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Levy Matters II: Recent Progress in Theory and Applications

over the years. Each volume examines a number of key topics in the theory or applications of Levy processes and pays tribute to the state of the;

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Stochastic Integration Theory

(martingales, Levy processes) and important examples (Brownian motion, Poisson process).;

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Topics in stochastic processes

, Ito and Prohorov. Special attention is also paid to Levy processes. The lectures are basically self-contained and rely only on elementary;

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Student's t-Distribution and Related Stochastic Processes

distribution. These results allow us to define and analyse Student-Levy processes as Thorin subordinated Gaussian Levy processes. A broad class of one;

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Stochastic Processes for Physicists

of the more exotic Levy processes is included, as is a concise account of numerical methods for simulating stochastic systems driven by Gaussian;

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Stochastic Processes: From Physics to Finance

This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the;

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Levy Matters V

This three-chapter volume concerns the distributions of certain functionals of Levy processes. The first chapter, by Makoto Maejima;

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An Advanced Levy Market Model

the market should be enlarged by artificial assets based on the power-jump processes of the underlying Levy process. Then it is shown that the;

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Exit Problems for Levy and Markov Processes with One-Sided Jumps and Related Topics

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One Thousand Exercises in Probability

, Markov chains, convergence, stationary processes, renewals, queues, martingales, diffusions, Levy processes, stability and self-similarity, time;

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