Project level: Honours, Masters, PhD

A Levy process is a stochastic process with independent and stationary increments. Examples include Brownian motion and (compound) Poisson and stable processes. This project aims to develop analytical and numerical results on the Levy process and apply them to financial and actuarial problems, including derivatives pricing, computation of ruin/bankruptcy probabilities and stochastic control problems, such as optimal dividend problems and American option pricing.

Project members

Dr Kazutoshi Yamazaki

Senior Lecturer in Financial Mathematics