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Guest Lecture: From Diffusion to Jumps — MatheLinux

Guest Lecture: From Diffusion to Jumps

Ibrahim Lanre

Ibrahim Lanre wrote the original piece this material traces back to: "From Diffusion to Jumps: Lévy Models in Finance." It is the article and talk behind the idea that a continuous Brownian path cannot produce the gaps real markets actually make — the same question the five-lesson course on this platform answers in full mathematical detail.

Original article: From Diffusion to Jumps: Lévy Models in Finance — Ibrahim Lanre, on Medium.

Interactive · GBM vs jump-diffusion path

jump λ0.5

secondary=GBM · primary=jumps

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Reference siteIbrahim Lanre — profileIbrahim LanreUse forRead the full body of original articles these guest lectures are drawn from, directly from the author.

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Lesson close · Special Lectures

Consolidate Guest Lecture: From Diffusion to Jumps

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Key concepts covered

01Ibrahim Lanre

What you should know now

Explain Guest Lecture: From Diffusion to Jumps in your own words and state the assumptions.
Reproduce the main argument, derivation, or implementation without copying the lesson.
Check one example against units, boundary conditions, or edge cases.
Name one modeling or implementation limitation and when it matters.

Sequence

Continue to Guest Lecture: Stochastic PDEs and Why Classical PDEs Fail in Markets, the next prerequisite step in this course.

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