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

MF (Mathematical Finance)

Bibliografia

Principal

• 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

Secundária

• A. Papapantoleon, An introduction to Lévy processes with applications in finance, Lecture notes, TU Vienna, http://arxiv.org/abs/0804.0482, 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