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 Lévy Processes in Finance: Pricing Financial Derivatives
ISBN: 978-0-470-85156-2
Hardcover
196 pages
May 2003
US $140.00
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Preface.
Acknowledgements.
Introduction.
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.
Simulation Techniques.
Exotic Option Pricing.
Interest-Rate Models.
Appendix A: Special Functions.
Appendix B: Lévy Processes.
Appendix C: S&P 500 Call Option Prices.
References.
Index.
