Please use this identifier to cite or link to this item:
Title: Lévy Processes in Finance
Authors: Sengupta, Indranil
Dept. of Mathematics
Keywords: Stochastic processes
Option pricing theory
Issue Date: Dec-2023
Citation: 52
Abstract: This project aims to survey literature on lévy processes. We look at the stochastic calculus and the properties of jump processes and then look at applications of lévy processes in finance. These include markets driven by lévy processes and pricing of stock options under markets driven by lévy processes.
Appears in Collections:MS THESES

Files in This Item:
File Description SizeFormat 
20181037_Siddhesh_Sundar_MS_Thesis.pdfMS Thesis476.05 kBAdobe PDFView/Open    Request a copy

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.