Lévy Processes in Finance: Pricing Financial Derivatives

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.