Levy Processes: Applications to Finance and Dependence Structure
(Candidacy Exam Talk)
Pierre Garreau, FSU
4/8/10
The main definitions and properties of Levy processes are introduced in order
to present martingale transformations such as the Girsanov Theorem
and Essher transform methods to work with exponential Levy martingales.
The problem of derivative pricing is addressed, as well as portfolio
replication. The characterization of multidimensional processes is presented
and the simulation of Levy copula explained in the case of a finite Levy measure.