EPT functions: Non-negativity analysis, Levy processes and Financial applications

Speaker

Prof. B. Hanzon

Duration

0:59:22

Date

17 September 2012

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.

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