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EPT functions: Non-negativity analysis, Levy processes and Financial applications
Speaker: Prof. B. Hanzon Abstract: Exponential Polynomial Trigonometric (EPT) functions are being considered as probability density functions. A specific matrix-vector representation is proposed for doing calculations wi...
About This Episode
EPT functions: Non-negativity analysis, Levy processes and Financial applications is an episode from Hamilton Institute Seminars (iPod / small) by Hamilton Institute. Speaker: Prof. B. Hanzon Abstract: Exponential Polynomial Trigonometric (...
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Episode Details
Published Sep 16, 2012, 0:59:22 long, audio available.
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What is EPT functions: Non-negativity analysis, Levy processes and Financial applications about?
Speaker: Prof. B. Hanzon Abstract: Exponential Polynomial Trigonometric (EPT) functions are being considered as probability density functions. A specific matrix-vector representation is proposed for doing calculations with these functions. We investigate when these functions are non-negative and under which conditions the density functions are infinitely divisible--in which case there is an associated Levy process. Application to option price computations in finance will be presented. For background information on this topic the website can be considered.
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EPT functions: Non-negativity analysis, Levy processes and Financial applications is an episode from Hamilton Institute Seminars (iPod / small) by Hamilton Institute.
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This episode is 0:59:22 long.
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This episode was published on Sep 16, 2012.
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Which podcast is this episode from?
EPT functions: Non-negativity analysis, Levy processes and Financial applications is from Hamilton Institute Seminars (iPod / small) by Hamilton Institute.
What are the episode details?
Published Sep 16, 2012 and 0:59:22 long