Levy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Levy process in finance is the BlackaScholes model. This book presents important financial applications of Levy processes. The Editors consider jump-diffusion and pure non-Gaussian Levy processes, the multi-dimensional BlackaScholes model, and regime-switching Levy models. This book is comprised of seven chapters that focus on different approaches to solving applied problems under Levy processes: Monte Carlo simulations,...
Levy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance...
