LEVY MODELS AND LONG CORRELATIONS APPLIED TO THE STUDY OF EXTREME EVENTS IN FINANCIAL MARKETS

Emmanuel Kengi
Dept. of Mathematical Sciences, UTEP

This presentation is devoted to the development and analysis of mathematical models to enhance understanding of extreme events in financial markets. This will be undertaken through one specific problem in the mathematics of risk management: The development and application of tools from mathematical physics to analyze market dynamics leading to a ``crash", and the corresponding matching with tools from the Mathematical Finance.