Lévy Processes in Finance

dc.contributor.advisor	Sengupta, Indranil
dc.contributor.author	SUNDAR, SIDDHESH
dc.date.accessioned	2023-12-19T05:50:06Z
dc.date.available	2023-12-19T05:50:06Z
dc.date.issued	2023-12
dc.identifier.citation	52	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8335
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.subject	Stochastic processes	en_US
dc.subject	Option pricing theory	en_US
dc.title	Lévy Processes in Finance	en_US
dc.type	Thesis	en_US
dc.description.embargo	One Year	en_US
dc.type.degree	BS-MS	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.contributor.registration	20181037	en_US

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Description: MS Thesis

MS THESES [1705]
Thesis submitted to IISER Pune in partial fulfilment of the requirements for the BS-MS Dual Degree Programme/MSc. Programme/MS-Exit Programme