Lévy Processes in Finance: Pricing Financial Derivatives
* 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.