Seminar: Lévy processes in Finance

	Lecturer:		Robert Stelzer, Annemarie Bitter, Johanna Vestweber

	Type:		Bachelor and Master

	Registration:		To register for the seminar, please write an E-Mail to Johanna Vestweber until 24th July 2015. In the e-mail please give your name, immatriculation number, your course of studies and subjects you have taken in the area of Financial Mathematics, Probability or Stochastic Processes. The number of participants is limited to 15 students.

	News:

	First meeting (assignment of topics):		28th July 2015, 16.00-17.00, Heho 18, E20.

	Prerequisites:		Bachelor students Measure Theory Elementary Probability and Statistics Stochastik I Master students (additional) Financial Mathematics I helpful Financial Mathematics II Stochastic II (Stochastic Processes)
	Time and Venue:		Blockseminar in November 2015. The exact dates will be notified at the first meeting.

	Literature: Talks:		Cont, R., Tankov, P. (2004) Financial Modelling with jump processes. Chapman & Hall Schoutens,W. (2003). Lévy Processes in Finance - Pricing Financial Derivatives,Wiley Lecture notes: R. Stelzer: Lévy processes, stochastic analysis and financial modelling with jump processes. Cont, Rama. "Empirical properties of asset returns: stylized facts and statistical issues." (2001): 223-236. Guillaume, Dominique M., et al. "From the bird's eye to the microscope: a survey of new stylized facts of the intra-daily foreign exchange markets." Finance and stochastics 1.2 (1997): 95-129. Stylized Facts and Motivation The Poisson Process, Random measures and Lévy processes Building Lévy processes Stochastic calculus for jump processes Measure transformation for Lévy processes Risk-neutral modelling with exponential Lévy processes Integro-dierential equations and numerical methods I Integro-dierential equations and numerical methods II Inverse problems and model calibration