Corpus ID: 5676193

Basics of Levy processes

@inproceedings{Shephard2012BasicsOL,
  title={Basics of Levy processes},
  author={Neil Shephard and Ole E. Barndorff-Nielsen},
  year={2012}
}
This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”. 
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It turns out that in a number of standard situations the martingale measure is unique. Expand
Option Pricing with Levy Process
In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristicsExpand
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Time consistency of the models used is an important ingredient to improve risk management. The empirical investigation in this article gives evidence for some models driven by Lévy processes to beExpand
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Preface. Acknowledgements. Introduction. Financial Mathematics in Continuous Time. The Black-Scholes Model. Imperfections of the Black-Scholes Model. Levy Processes and OU Processes. Stock PriceExpand
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Several methods of generating series representations of a Levy process are presented under a unified approach and a new rejection method is introduced in this context. The connection of suchExpand
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Stochastic processes with Student marginals and various types of dependence structure, allowing for both shortand long-range dependence, are discussed in this paper. A particular motivation is theExpand
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A general class of truncated Levy processes is introduced, and possible ways of fitting parameters of the constructed family of truncated Levy processes to data are discussed. For a market of aExpand
Integer-valued Lévy processes and low latency financial econometrics
Motivated by features of low latency data in financial econometrics we study in detail integer-valued Lévy processes as the basis of price processes for high-frequency econometrics. We propose usingExpand
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This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Levy processes of the exponential type) and related analytical methodsExpand
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