Exotic Option Pricing and Advanced Lvy Models (Kyprianou Andreas)(Pevná vazba)

Since around the turn of the millennium there has been a generalacceptance that one of the more practical improvements one may makein the light of the shortfalls of the classical Black-Scholes modelis to replace the underlying source of randomness, a Brownianmotion, by a L vy process. Working with L vy processesallows one to capture desirable distributional characteristics inthe stock returns. In addition, recent work on L vy processeshas led to the understanding of many probabilistic and analyticalproperties, which make the processes attractive as mathematicaltools. At the same time, exotic derivatives are gaining increasingimportance as financial instruments and are traded nowadays inlarge quantities in OTC markets. The current volume is a compendiumof chapters, each of which consists of discursive review and recentresearch on the topic of exotic option pricing and advancedL vy
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