Lévy Processes in Finance

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dc.contributor.advisorSengupta, Indranilen_US
dc.contributor.authorSUNDAR, SIDDHESHen_US
dc.contributor.departmentDept. of Mathematicsen_US
dc.contributor.registration20181037en_US
dc.date.accessioned2023-12-19T05:50:06Z
dc.date.available2023-12-19T05:50:06Z
dc.date.issued2023-12en_US
dc.description.abstractThis project aims to survey literature on lévy processes. We look at the stochastic calculus and the properties of jump processes and then look at applications of lévy processes in finance. These include markets driven by lévy processes and pricing of stock options under markets driven by lévy processes.en_US
dc.description.embargoOne Yearen_US
dc.identifier.citation52en_US
dc.identifier.urihttp://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/8335
dc.language.isoenen_US
dc.subjectStochastic processesen_US
dc.subjectOption pricing theoryen_US
dc.titleLévy Processes in Financeen_US
dc.typeThesisen_US
dc.type.degreeBS-MSen_US

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