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Number of hours
Lectures : 18.0
Laboratory works : 3.0
ECTS : 1.75
The aims of this lecture is to introduce Lévy processes in modeling of financial assets. The features of this type of stochastic process is to present jumps, thus modeling sudden changes in assets. Unlike the Black and Scholes option pricing which leads to solving parabolic second order PDE, in the jump model option pricing problem leads to solving integro-differential equations (IDE). The last part of the lecture will be devoted to the implementation of these IDE solving techniques.