Author : Oleg Kudryavtsev
Release : 2021
Genre : Mathematics
Kind : eBook
Book Rating : 492/5 ( reviews)
Book Synopsis Applications of Lévy Processes by : Oleg Kudryavtsev
Download or read book Applications of Lévy Processes written by Oleg Kudryavtsev. This book was released on 2021. Available in PDF, EPUB and Kindle. Book excerpt: "Lévy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lévy 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 Lévy 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"--