Description
Lvy processes have found applications in various fields, including physics, chemistry, long-term climate change, telephone communication, and finance. The most famous Lvy process in finance is the Black-Scholes model. This book presents important financial applications of Lvy processes. The Editors consider jump-diffusion and pure non-Gaussian Lvy processes, the multi-dimensional Black-Scholes model, and regime-switching Lvy models. This book is comprised of seven chapters that focus on different approaches to solving applied problems under Lvy processes: Monte Carlo simulations, machine learning, the frame projection method, dynamic programming, the Fourier cosine series expansion, finite difference schemes, and the Wiener-Hopf factorisation. Various numerical examples are carefully presented in tables and figures to illustrate the methods designed in the book.
