L\'evy Processes For Finance: An Introduction In R
Applications
2015-03-16 v1 Computational Finance
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.
Cite
@article{arxiv.1503.03902,
title = {L\'evy Processes For Finance: An Introduction In R},
author = {D. J. Manuge},
journal= {arXiv preprint arXiv:1503.03902},
year = {2015}
}
Comments
18 pages, 9 figures