Material Detail

An introduction to Levy processes with financial modelling in mind

An introduction to Levy processes with financial modelling in mind

This video was recorded at Workshop on Approximate Inference in Stochastic Processes and Dynamical Systems, Cumberland Lodge 2008. In this talk I will take some care to introduce the general class of Levy processes as well as the most relevant parametric families. I will explain how these can be used for modelling purposes, directly or as driving processes for more general stochastic processes. As an application, I'll discuss stochastic volatility modelling and some questions arising when doing inference in the presence of jumps, based on joint work with Ole Barndorff-Nielsen and Neil Shephard.

Quality

  • User Rating
  • Comments
  • Learning Exercises
  • Bookmark Collections
  • Course ePortfolios
  • Accessibility Info

More about this material

Comments

Log in to participate in the discussions or sign up if you are not already a MERLOT member.