Applications of Levy Processes

Lévy processes have numerous applications in finance, physics, chemistry, and long-term climate change, and this book discusses their financial applications, including the Black-Scholes model. It covers Monte Carlo simulations, machine learning, dynamic programming, and other methods for solving applied problems under Lévy processes.

Format: Hardback
Length: 259 pages
Publication date: 01 October 2021
Publisher: Nova Science Publishers Inc

Lévy processes have found widespread applications across diverse fields, including physics, chemistry, long-term climate change, telephone communication, and finance. Among the most renowned Lévy processes in finance, the Black-Scholes model stands out as a prominent example. This comprehensive book delves into the significant financial applications of Lévy processes. The editors explore jump-diffusion and pure non-Gaussian Lévy processes, the multi-dimensional Black-Scholes model, and regime-switching Lévy models. Comprising seven chapters, this book focuses on various approaches to solving applied problems under Lévy processes. These include Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorization. Numerous numerical examples are meticulously presented in tables and figures to illustrate the methods outlined in the book.

Lévy processes have found widespread applications across diverse fields, including physics, chemistry, long-term climate change, telephone communication, and finance. Among the most renowned Lévy processes in finance, the Black-Scholes model stands out as a prominent example. This comprehensive book delves into the significant financial applications of Lévy processes. The editors explore jump-diffusion and pure non-Gaussian Lévy processes, the multi-dimensional Black-Scholes model, and regime-switching Lévy models. Comprising seven chapters, this book focuses on various approaches to solving applied problems under Lévy processes. These include Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorization. Numerous numerical examples are meticulously presented in tables and figures to illustrate the methods outlined in the book.

Weight: 488g
ISBN-13: 9781536195255