EPT functions: Non-negativity analysis, Levy processes and Financial applications
Speaker:\n\nProf. B. Hanzon\n\n\nAbstract:\n\nExponential 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. \r\rFor background information on this topic the website www.2-ept.com can be considered.