Lévy processes in finance pricing financial derivatives

Preface. Acknowledgements. Introduction. Financial Mathematics in Continuous Time. The Black-Scholes Model. Imperfections of the Black-Scholes Model. Levy Processes and OU Processes. Stock Price Models Driven by Levy Processes. Levy Models with Stochastic Volatility. Simulation Techniques. Exotic Option Pricing. Interest-Rate Models. Appendix A: Special Functions. Appendix B: Levy Processes. Appendix C: S&P 500 Call Option Prices. References. Index.