Applications of Lévy Processes
Author:   Oleg Kudryavtsev
Publisher:   Nova Science Publishers Inc
ISBN:  

9781536195255


Pages:   259
Publication Date:   01 October 2021
Format:   Hardback
Availability:   Available To Order   Availability explained
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Applications of Lévy Processes


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Author:   Oleg Kudryavtsev
Publisher:   Nova Science Publishers Inc
Imprint:   Nova Science Publishers Inc
Weight:   0.488kg
ISBN:  

9781536195255


ISBN 10:   1536195251
Pages:   259
Publication Date:   01 October 2021
Audience:   College/higher education ,  Undergraduate
Format:   Hardback
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Preface; Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension; A Machine Learning Approach to Option Pricing under Lévy Processes; On Swing Option Pricing Under Lévy Process Dynamics; Fourier-Cosine Expansion Method for Pricing Equity-Indexed Annuities under Lévy Models; The Multilevel Monte Carlo Method for Jump Lévy Models: Central Limit Theorem; Optimal Resource Extraction in Regime Switching Lévy Markets; Numerical Methods for Pricing Options in Lévy Processes: The Approximate Wiener-Hopf Factorization Techniques; Index.

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