Antonis Papapantoleon
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3236 L 364 Lévy processes
The lectures take place on- Monday 14:00–16:00 at MA 751.
Slides of the introductory lecture: PDF.
Slides of the final lecture: PDF.
Lecture notes: PDF. (draft of 8 February 2010 – will be completed soon)
Literature
A. Lévy processes: theory
- David Applebaum: Lévy Processes and Stochastic Calculus, 2nd ed., CUP, 2009.
- Jean Bertoin: Lévy Processes, CUP, 1996.
- Andreas Kyprianou: Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer 2006 .
- Ken-iti Sato: Lévy Processes and Infinitely Divisible Distributions, CUP, 1999.
- Jean Jacod, Albert Shiryaev: Limit Theorems for Stochastic Processes, 2nd ed., Springer, 2003.
- Philip Protter: Stochastic Integration and Differential Equations, 2nd ed., Springer, 2005.
- Rama Cont, Peter Tankov: Financial Modelling with Jump Processes, Chapman & Hall, 2004.
- Wim Schoutens: Lévy Processes in Finance: Pricing Financial Derivatives, Wiley, 2003.
- Albert Shiryaev: Essentials of Stochastic Finance - Facts, Models, Theory, Wolrd Scientific, 1999.
- O. E. Barndorff-Nielsen, Th. Mikosch, S. I. Resnick (Eds.): Lévy Processes - Theory and Applications, Birkhäuser, 2001.
- A. Kyprianou, W. Schoutens, P. Wilmott (Eds.): Exotic Option Pricing and Advanced Lévy Models, Wiley, 2005.
- U. Franz, M. Schürmann (Eds.): Quantum Independent Increment Processes I, Lecture Notes in Mathematics, Vol. 1865, 2005.
- U. Franz, M. Schürmann (Eds.): Quantum Independent Increment Processes II, Lecture Notes in Mathematics, Vol. 1866, 2006.
- The physics of blown sand: http://home.imf.au.dk/oebn/blownsand.mpg.