Titlebook: Mathematical Finance; Ernst Eberlein,Jan Kallsen Book 2019 Springer Nature Switzerland AG 2019 91G20, 91G80, 60G51, 60G44.60H05, 60J75, 60

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Mathematical Finance978-3-030-26106-1Series ISSN 1616-0533 Series E-ISSN 2195-0687

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Lévy ProcessesThe continuous-time analogue of a random walk is called a Lévy process. One may also view Lévy processes as the stochastic counterpart of linear functions. Both viewpoints illustrate that these processes play a fundamental role.

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Semimartingale CharacteristicsThe stochastic calculus in Chap. . is based on integration. Small Lévy-like bits of processes are pieced together to yield something that behaves differently from any Lévy process on a global scale.

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