∗ Provides an introduction to the use of Lévy processes in finance.
∗ Features many examples using real market data, with emphasis on the pricing of financial derivatives.
∗ Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.
∗ Includes many figures to illustrate the theory and examples discussed.
∗ Avoids unnecessary mathematical formalities.
The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers.
Financial Mathematics in Continuous Time.
The Black–Scholes Model.
Imperfections of the Black–Scholes Model.
Lévy Processes and OU Processes.
Stock Price Models Driven by Lévy Processes.
Lévy Models with Stochastic Volatility.
Exotic Option Pricing.
Appendix A: Special Functions.
Appendix B: Lévy Processes.
Appendix C: S&P 500 Call Option Prices.