L\'evy Processes For Finance: An Introduction In R
D.J. Manuge
TL;DR
This paper introduces Le9vy processes and their application in financial modeling, focusing on their characteristic functions and how to generate these processes using R software.
Contribution
It provides an accessible introduction to Le9vy processes in finance, including practical R implementations for characteristic functions and simulations.
Findings
Provides R code for Le9vy process simulation
Explains characteristic functions of popular Le9vy processes
Facilitates practical application in financial modeling
Abstract
This brief manuscript provides an introduction to L\'evy processes and their applications in finance as the random process that drives asset models. Characteristic functions and random variable generators of popular L\'evy processes are presented in R.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Insurance, Mortality, Demography, Risk Management