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Lévy Matters

Lévy Matters I

Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance

Authors: Duquesne, Th., Reichmann, O., Sato, K.-i., Schwab, C.

Editors: Barndorff-Nielsen, O.E., Bertoin, J., Jacod, J., Klüppelberg, C. (Eds.)

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  • Over the past 10-15 years, we have seen a revival of general Lévy processes theory as well as a burst of new applications
  • There is a lively and growing research community in this area
  • Expository articles help to disseminate important theoretical and applied research to other researchers, and to young researchers in particular, like PhD students and post docs
  • Chapters attract different focus groups of readers
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About this book

This is the first volume of a subseries of the Lecture Notes in Mathematics which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The three expository articles of this first volume have been chosen to reflect the breadth of the area of Lévy processes. The first article by Ken-iti Sato characterizes extensions of the class of selfdecomposable distributions on R^d. The second article by Thomas Duquesne discusses Hausdorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Lévy or additive processes model the dynamics of the risky assets.

Table of contents (3 chapters)

Table of contents (3 chapters)
  • Fractional Integrals and Extensions of Selfdecomposability

    Pages 1-91

    Sato, Ken-iti

  • Packing and Hausdorff Measures of Stable Trees

    Pages 93-136

    Duquesne, Thomas

  • Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing

    Pages 137-196

    Reichmann, Oleg (et al.)

Buy this book

eBook $59.99
price for USA in USD
  • ISBN 978-3-642-14007-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.99
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
Lévy Matters I
Book Subtitle
Recent Progress in Theory and Applications: Foundations, Trees and Numerical Issues in Finance
Authors
Editors
  • Ole E. Barndorff-Nielsen
  • Jean Bertoin
  • Jean Jacod
  • Claudia Klüppelberg
Series Title
Lévy Matters
Series Volume
2001
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-14007-5
DOI
10.1007/978-3-642-14007-5
Softcover ISBN
978-3-642-14006-8
Series ISSN
2190-6637
Edition Number
1
Number of Pages
XIV, 206
Topics

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