EPT functions: Non-negativity analysis, Levy processes and Financial applications
Manage episode 151501840 series 1029398
Content provided by Hamilton Institute. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by Hamilton Institute or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://ro.player.fm/legal.
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 www.2-ept.com can be considered.
…
continue reading
63 episoade