Lévy Process in finance and estimation of the Variance Gamma parameters

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Lévy Process in finance and estimation of the Variance Gamma parameters.

Rel. Patrizia Semeraro. Politecnico di Torino, Corso di laurea magistrale in Ingegneria Gestionale (Engineering And Management), 2019

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Abstract:	The first part is adescription of the Lévy process theory and their application in finance. In the second one of them, the Variance Gamma, has been analyzed deeper with an estimation of its parameters from a data sample.
Relators:	Patrizia Semeraro
Academic year:	2019/20
Publication type:	Electronic
Number of Pages:	56
Subjects:
Corso di laurea:	Corso di laurea magistrale in Ingegneria Gestionale (Engineering And Management)
Classe di laurea:	New organization > Master science > LM-31 - MANAGEMENT ENGINEERING
Aziende collaboratrici:	UNSPECIFIED
URI:	http://webthesis.biblio.polito.it/id/eprint/13511

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