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Basics of Levy processes

Author

Listed:
  • Ole E. Barndorff-Nielsen

    (The T.N. Thiele Centre for Mathematics in Natural Science, Department of Mathematical Sciences, University of Aarhus, Denmark)

  • Neil Shephard

    (Nuffield College, Dept of Economics and Oxford-Man Institute of Quantitative Finance, University of Oxford.)

Abstract

This is a draft Chapter from a book by the authors on “L´evy Driven Volatility Models”.

Suggested Citation

  • Ole E. Barndorff-Nielsen & Neil Shephard, 2012. "Basics of Levy processes," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:1206
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    File URL: http://www.nuffield.ox.ac.uk/economics/papers/2012/introlevy120608.pdf
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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