Processos de Lévy e Aplicações (1 º Sem 2019/2020)

MF (Mathematical Finance)



  • D. Applebaum, Lévy Processes and Stochastic Calculus, 2nd. Edition, Cambridge University Press, 2009
  • R. Cont and P. Tankov, Financial modelling with Jump Processes, Chapman & Hall / CRC Press, 2003
  • João Guerra, Lecture Notes - Lévy Processes and Applications, ISEG, 2012


  • A. Papapantoleon, An introduction to Lévy processes with applications in finance, Lecture notes, TU Vienna,, 2008
  • B. Oksendal and A. Sulem, Applied Stochastic Control of Jump Diffusions, 2nd. Edition, Springer. , 2007
  • Wim Schoutens, Lévy Processes in Finance, John Wiley & Sons, 2003
  • K.-I. Sato, Lévy Processes and Infinitely Divisible Distributions, Cambridge University Press, 1999