Lévy Processes in Finance

3 credits · Graduate Programs

Topics include specific areas of mathematical finance and build on Mathematics 681. Fundamental concepts associated with LP such as infinite divisibility, the Lévy-Khintchine formula, the Lévy-Itô decomposition, subordinators, LP as time-changed Brownian motions, and also dealing with semi-groups and generators of LP, the Itô formula for LP, the Girsanov theorem, stochastic differential equations driven by LP, the Feynman-Kac formula, applications of LP and numerical simulation of LP. Prerequisite(s): Mathematics 681 and admission to a graduate program in Mathematics and Statistics or consent of the Department.