Antonis Papapantoleon
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3236 L 275 Stochastic Analysis for Jump Processes
The lectures take place on- Tuesday 12–14 @ MA 744
Lecture notes: PDF
Slides of the introductory lecture: PDF.
Literature
Lévy processes
- David Applebaum: Lévy Processes and Stochastic Calculus, 2nd ed., CUP, 2009.
- Andreas Kyprianou: Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer 2006.
- Ken-iti Sato: Lévy Processes and Infinitely Divisible Distributions, CUP, 1999.
- Jean Jacod, Albert Shiryaev: Limit Theorems for Stochastic Processes, 2nd ed., Springer, 2003.
- Philip Protter: Stochastic Integration and Differential Equations, 2nd ed., Springer, 2005.
- Rama Cont, Peter Tankov: Financial Modelling with Jump Processes, Chapman & Hall, 2004.
- Wim Schoutens: Lévy Processes in Finance: Pricing Financial Derivatives, Wiley, 2003.
- Albert Shiryaev: Essentials of Stochastic Finance - Facts, Models, Theory, Wolrd Scientific, 1999.
- The physics of blown sand: http://home.imf.au.dk/oebn/blownsand.mpg.