D0132 - JUMP PROCESSES FOR FINANCIAL MODELS

Learning outcomes

This course explores classical and modern jump processes and the financial models built upon them. By the end of the course, students will understand the concepts of infinite divisibility and Lévy processes, and how these combine into factor-based models and other advanced asset pricing frameworks.

Course contents

Infinitely divisible distributions

Lévy processes

Jump diffusions

Levy-Driven autoregressive processes

Additive and self similar processes

Financial models based on the above

Office hours

See the website of Lorenzo Torricelli