This preview shows page 1. Sign up to view the full content.
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...
View Full Document
- Fall '11