OFICINA Seminar

Friday, November 27, 2015

Lévy processes and fractional Lévy processes: some applications in finance


João Guerra
(CEMAPRE - ISEG)

Abstract: We introduce briefly Lévy processes and fractional Lévy processes. We also present some results and research perspectives on the following problems: existence and uniqueness of solutions for Partial integro-differential equations that generalize the Black-Scholes PDE when the continuous diffusion dynamics for the underlying price is replaced by a Lévy process dynamics (including jumps) and associated numerical schemes; Fractional Lévy processes and applications in Finance.

Friday, November 27, 2015
Time: 11h00
Room: Sala IAPMEI, Edificio Quelhas, ISEG
http://cemapre.iseg.ulisboa.pt/seminars/oficina/