Basics of Levy processes
AbstractThis is a draft Chapter from a book by the authors on “L´evy Driven Volatility Models”.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2012-W06.
Length: 70 pages
Date of creation: 09 Jun 2012
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Web page: http://www.nuff.ox.ac.uk/economics/
Other versions of this item:
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012. "Basics of Levy processes," Economics Series Working Papers, University of Oxford, Department of Economics 610, University of Oxford, Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
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