Wim Schoutens is giving a lecture on credit derivatives and Levy processes at 7City next week

http://www.schoutens.be/

http://en.wikipedia.org/wiki/L%C3%A9vy_process

There is already a similar recorded lecture of his on the CQF website, but it will be good to attend in person so I can ask a few questions. If he gives some example code I will modify my work in progress spreadsheet.

http://www.noelwatson.com/blog/PermaLink,guid,b9f877c7-6c00-441b-a520-b933493d2e8d.aspx

Some of Wim's earlier Levy related work

WimExoticOptions2002.pdf (358.25 KB)