| Description |
1 online resource (xiv, 198 pages) : illustrations (some color) |
| Series |
Lévy matters ; 1 |
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Lecture notes in mathematics, 1617-9692 ; 2001 |
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Lévy matters ; 1.
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Lecture notes in mathematics (Springer-Verlag) ; 2001.
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| Contents |
Fractional integrals and extensions of selfdecomposability / Ken-iti Sato -- Packing and Hausdorff measures of stable trees / Thomas Duquesne -- Numerical analysis of additive, Lévy, and Feller processes with applications to option pricing / Oleg Reichmann and Christoph Schwab |
| Summary |
This series reports on new developments in mathematical research and teaching-quickly, informally and at a high level |
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Texts that are out of print but still in demand may also be considered |
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The timeliness of a manuscript is sometimes more important than its form, which may in such cases be preliminary or tentative |
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Details of the editorial policy and how to submit to the series can be found on the inside front-cover of a current volume. We recommend contacting the publisher or the series editors at an early stage of your project |
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Manuscripts should be prepared according to Springer-Verlag's standard specifications. Latex style files may be found at www.springer.com>Authors>Author Guidelines |
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This is the first volume of a subseries of the Lecture Notes in Mathematics called Levy Matters, which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Levy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world |
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The three expository articles of this first volume have been chosen to reflect the breadth of the area of Levy processes. The first article by Ken-iti Sato characterizes extensions of the class of selfdecomposable distributions on Rd. The second article by Thomas Duquesne discusses Haudorff and packing measures of stable trees. The third article by Oleg Reichmann and Christoph Schwab presents numerical solutions to Kolmogoroff equations, which arise for instance in financial engineering, when Levy or additive processes model the dynamics of the risky assets. --Book Jacket |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Lévy processes.
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Branching processes.
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Trees (Graph theory)
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Options (Finance) -- Prices -- Mathematical models
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Opciones (Finanzas) -- Precios -- Modelos matemáticos
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Branching processes
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Lévy processes
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Options (Finance) -- Prices -- Mathematical models
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Trees (Graph theory)
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| Form |
Electronic book
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| Author |
Schwab, Ch. (Christoph)
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Barndorff-Nielsen, O. E. (Ole E.)
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Jacod, Jean
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Sato, Ken-iti, 1934-
Fractional integrals and extensions of selfdecomposability
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Duquesne, Thomas.
Packing and Hausdorff measures of stable trees
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Reichmann, Oleg.
Numerical analysis of additive, Lévy, and Feller processes with applications to option pricing
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| LC no. |
2010933508 |
| ISBN |
9783642140075 |
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3642140076 |
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