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Thèse présentée pour obtenir le
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Abstract This thesis deals with the
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Contents Remarks on notation 11 Int
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CONTENTS 9 II Multidimensional mode
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12 For {P n } n≥1 , P ∈ P(Ω) t
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14 INTRODUCTION EN FRANCAIS corresp
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16 INTRODUCTION EN FRANCAIS Lévy p
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18 INTRODUCTION EN FRANCAIS Calibra
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20 INTRODUCTION EN FRANCAIS • Si
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22 INTRODUCTION EN FRANCAIS et Scai
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24 INTRODUCTION EN FRANCAIS Ce rés
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26 INTRODUCTION EN FRANCAIS dans un
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28 INTRODUCTION 7500 Taux de change
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30 INTRODUCTION Lévy models by Fou
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Chapter 1 Lévy processes and exp-L
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1.1. LEVY PROCESSES 35 Proposition
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1.1. LEVY PROCESSES 37 The characte
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1.1. LEVY PROCESSES 39 On the other
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1.2. EXPONENTIAL LEVY MODELS 41 (b)
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1.3. EXP-LEVY MODELS IN FINANCE 43
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1.3. EXP-LEVY MODELS IN FINANCE 45
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1.4. PRICING EUROPEAN OPTIONS 47 wi
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1.4. PRICING EUROPEAN OPTIONS 49 Pr
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1.4. PRICING EUROPEAN OPTIONS 51 Nu
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1.4. PRICING EUROPEAN OPTIONS 53 By
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1.4. PRICING EUROPEAN OPTIONS 55 Si
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Chapter 2 The calibration problem a
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2.1. LEAST SQUARES CALIBRATION 59 m
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2.1. LEAST SQUARES CALIBRATION 61 i
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2.1. LEAST SQUARES CALIBRATION 63 w
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2.1. LEAST SQUARES CALIBRATION 65 A
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2.1. LEAST SQUARES CALIBRATION 67 i
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2.2. SELECTION USING RELATIVE ENTRO
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2.2. SELECTION USING RELATIVE ENTRO
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2.3. RELATIVE ENTROPY IN THE LITERA
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2.3. RELATIVE ENTROPY IN THE LITERA
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2.3. RELATIVE ENTROPY IN THE LITERA
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- Page 99 and 100: 3.2. CHOICE OF THE PRIOR 99 Since
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- Page 113 and 114: 3.5. NUMERICAL SOLUTION 113 have th
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- Page 134 and 135: 134 CHAPTER 4. DEPENDENCE OF LEVY P
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- Page 166 and 167: 166 CHAPTER 5. APPLICATIONS OF LEVY
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180 CHAPTER 5. APPLICATIONS OF LEVY
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182 CHAPTER 5. APPLICATIONS OF LEVY
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184 CHAPTER 5. APPLICATIONS OF LEVY
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186 CHAPTER 5. APPLICATIONS OF LEVY
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188 CONCLUSIONS AND PERSPECTIVES ge
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190 BIBLIOGRAPHY [9] O. E. Barndorf
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192 BIBLIOGRAPHY [33] F. Delbaen, P
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194 BIBLIOGRAPHY [57] P. Jorion, On
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196 BIBLIOGRAPHY [81] S. Raible, L
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198 BIBLIOGRAPHY
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200 INDEX tightness, 40 levycalibra