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Lévy Processes

In: Extreme Financial Risks and Asset Allocation

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  • Olivier Le Courtois
  • Christian Walter

Abstract

Lévy processes constitute the class of stochastic processes with independent and stationary increments. With the exception of Brownian motion with drift, they consist entirely of jumps. These processes are used throughout this book to represent the evolution of the returns of financial instruments. The books by Bertoin (1996), Satō (1999), and Applebaum (2009) present many results about Lévy processes and describe many of their properties. Schoutens (2003) and Cont and Tankov (2004) also give a mathematical exposition of these processes, but then focus on the pricing of financial derivatives…

Suggested Citation

  • Olivier Le Courtois & Christian Walter, 2014. "Lévy Processes," World Scientific Book Chapters, in: Extreme Financial Risks and Asset Allocation, chapter 4, pages 53-75, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781783263097_0004
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    Cited by:

    1. Alessandro Ramponi, 2012. "Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach," Papers 1207.6759, arXiv.org.

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