Graduate Course in Levy Processes with view towards Finance
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During september-october 2002, I plan to give graduate course 
with this focus. Course starts pretty immediately in september.

There are several reasons for reacent high activity in area of
Levy processes. One is touched in course, the possibility to 
get much improved fitting to financial phenomena, by Levy pro-
cess modelling, see the links at end of message. (Another rea-
son, which will not be touched, is fundamental role Levy pro-
cesses play when building infinitely divisible processes.) 

Workshops, advanced courses, lecture series, etc. on Levy pro-
cesses are arranged everywhere right now. (Proof: Search www.)

Course will be given in soft style, meaning we don't prove ev-
erything, but rather half or so. Course should be accessible to 
any graduate student, and also for very advanced undergraduates 
that are specially well-prepared in finance and stochastic cal-
culus. The special nature of the subject will make the course
awarding for every imaginable such participant. It is possible 
to understand the material on several different levels, that 
span from advanced undergraduate (see above) to the most diffi-
cult that one finds in mathematical sciences. 

The list of contents is as follows

1) EXCERPTS OF CLASSICAL THEORY FOR LEVY PROCESSES 

   What I mean with this is indicated e.g., by the book of Sato
   below and "Bertoin (1996): Lévy processes".

2) EXCERPTS OF STOCHASTIC CALCULUS FOR LEVY PROCESSES 

   I.e., stochastic differential equations with Levy noise.

   Theory in this area, modestly labeled "the general theory", 
   has not earned its reputation from accessible literature. 
   
LITERATURE for Section 1 and 2 above is likely to be relevant
(Levy model) sections in the admirably readable unpublished book
manuscript "Barndorff-Nielsen and Shepherd (2002): Financial 
Volatility and Levy based modeling" [possibly together with 
"Sato (2001): A Tutorial on Levy Processes. In: Levy Processes, 
Barndorff-Nielsen, Mikosch, Resnick Eds., pp. 3-37"], complemented 
with the standard literature "Protter (1990): Stochastic 
Integration and Differential Equations" and "Sato (1999): Levy 
Processes and Infinitely Divisible Distributions". (Literature is 
free for paticipants that complete the course.)

3) EXCERPTS OF MODELLING BY LEVY PROCESSES IN FINANCE 

   Literature is growing rapidly. One idea is to do grading of
   course by letting participants pick paper that interests 
   them, and give junior-seminar at end of course.

   One example is "Part V. Applications in Finance. In: Levy
   Processes (2001), Barndorff-Nielsen, Mikosch, Resnick Eds." 
   A lot of further works are availbale, for example, via

   http://www.levyprocess.org/ 
   http://www.maphysto.dk/ 

Best regards and wellcome, Patrik Albin