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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This note was uploaded on 01/15/2012 for the course MAT 5939 taught by Professor Garreau during the Fall '11 term at FSU.
- Fall '11