Unformatted text preview: presented. Along the way, the main characteristics o± L´ evy processes are intro-duced in the Jump DiFusion case: The L´ evy Khintchine ±ormula, Martingale conditions, Independence Lemmas, Admissible strategies. References  Benhamou, E., 2000, Option Pricing with L´ evy Processeses .  Lamberton, D. and Lapeyre, B, 1996, Introduction to Stochastic Calculus Applied to Finance , Chapman & Hall.  Papapantoleous, A, 2005, An Introduction to L´ evy Processes with Applica-tions in Finance , Lecture notes, University o± Piraeus.  Tankov, P. and Rama, C., 2008, Financial Modelling with Jump Processes , Chapman & Hall. 1...
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- Fall '11
- Math, Mathematical finance, Black–Scholes, Jump Processes, L´vy processes, Jump Diﬀusion model