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Subject Item
n2:RIV%2F61989100%3A27510%2F11%3A86079329%21RIV12-MSM-27510___
rdf:type
n6:Vysledek skos:Concept
dcterms:description
The publication is focused on a modern tool of financial modeling – Lévy processes and their applications in finance. Lévy process is any continuous-time process that starts at zero, can consists of jumps (although, it is cadlag) and corresponds to infinitely divisible probability distribution. It follows that such group of processes is very broad. In finance, however, a special attention is paid to Lévy processes defined in terms of subordinated Brownian motions. Such kind of processes allows one to fit also the higher moments of the empirical distribution of financial assets (log)-returns, skewness and kurtosis in particular. The book is divided into four parts. The first part of the book provides the reader with the basic theoretical background, while some specialties were moved to appendices. Other three parts focus on different applications of Lévy models in finance. The publication is focused on a modern tool of financial modeling – Lévy processes and their applications in finance. Lévy process is any continuous-time process that starts at zero, can consists of jumps (although, it is cadlag) and corresponds to infinitely divisible probability distribution. It follows that such group of processes is very broad. In finance, however, a special attention is paid to Lévy processes defined in terms of subordinated Brownian motions. Such kind of processes allows one to fit also the higher moments of the empirical distribution of financial assets (log)-returns, skewness and kurtosis in particular. The book is divided into four parts. The first part of the book provides the reader with the basic theoretical background, while some specialties were moved to appendices. Other three parts focus on different applications of Lévy models in finance.
dcterms:title
Lévy Processes in Finance: Selected applications with theoretical backround Lévy Processes in Finance: Selected applications with theoretical backround
skos:prefLabel
Lévy Processes in Finance: Selected applications with theoretical backround Lévy Processes in Finance: Selected applications with theoretical backround
skos:notation
RIV/61989100:27510/11:86079329!RIV12-MSM-27510___
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S
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n9:2012
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n4:3252833
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n20:B
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n8:predkladatel
n3:idSjednocenehoVysledku
209433
n3:idVysledku
RIV/61989100:27510/11:86079329
n3:jazykVysledku
n18:eng
n3:klicovaSlova
Lévy process, application in finance, subordinated Brownian motion
n3:klicoveSlovo
n15:subordinated%20Brownian%20motion n15:L%C3%A9vy%20process n15:application%20in%20finance
n3:kontrolniKodProRIV
[84E1EF7D4EC2]
n3:mistoVydani
Ostrava
n3:nazevEdiceCisloSvazku
SAEI, Volume 9
n3:nazevZdroje
Lévy Processes in Finance: Selected applications with theoretical backround
n3:obor
n16:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetStranKnihy
173
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n9:2011
n3:tvurceVysledku
Tichý, Tomáš
s:numberOfPages
173
n14:hasPublisher
Vysoká škola báňská - Technická univerzita Ostrava
n5:isbn
978-80-248-2536-6
n13:organizacniJednotka
27510