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Exotic Option Pricing and Advanced Lévy Models By: Wim Schoutens, Andreas Kyprianou, Paul Wilmott Normal price: 80 Our price: 68 + postage Bargain: save £12 ! Product code: 22096 ISBN: 0470016841 352 pages Format: Hb Published by: John Wiley & Sons, 2005, 1st edition There are no reviews available for this book

Description of Exotic Option Pricing and Advanced Lévy Models

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field.

Exotic Option Pricing and Advanced Lévy Models - Chapter headings

1. Levy processes in finance distinguished by their course and fine path properties by A. E. Kyprianou and R. Loeffen 2. Simulation Methods with Levy Processes by N. Webber 3. Risk in Returns: A Pure Jump Perspective by H. Geman and D.Madan 4. Model Risk for Exotic and Moment Derivatives by W. Schoutens, E. Simons and J. Tistaert 5. Symmetries and Pricing of Exotic Options in Levy Models by E. Eberlein and A. Papapantoleon 6. Static Hedging of Asian Options under Stochastic Volatility Models using Fast Fourier Transform by H. Albrecher and W. Schoutens 7. Impact of Market Crises on Real Options by P. Barrieu and N. Bellamy 8. Moment Derivatives and Levy-type Market Completion by J.M. Corcuera, D. Nualart and W. Schoutens 9. Pricing Perpetual American options driven by spectrally one-sided Levy processes by T. Chan 10. On Asian Options of American Type by G. Peskir and N. Uys 11. Why Be Backward? Forward Equations for American Options by P. Carr and A. Hirsa 12. Numerical Valuation of American Options Uncer the CGMY Process by A. Almendral 13. Convertible Bonds: Financial Derivatives of Game Type by J. Kallsen and C. Kuhn 14. The Spread Option Optimal Stopping Game by P.V. Gapeev

Authobiography of Wim Schoutens, Andreas Kyprianou, Paul Wilmott

ANDREAS KYPRIANOU has a degree in Mathematics from Oxford University and a PhD in Probability Theory from Sheffield University. He has held academic positions in Mathematics and Statistics departments at The London School of Economics, Edinburgh University, Utrecht University and, currently, Heriot Watt University. He has also worked for nearly two years as a research mathematician with Shell International Exploration and Production. His research interests are focused on pure and applied probability with recent focus on Lévy processes. He has taught a range of courses on Probability Theory, Stochastic Analysis, Financial Stochastics and Lévy Processes for the Amsterdam-Utrecht Masters programme in Stochastics and Financial Mathematics and the MSc programme in Financial Mathematics at Edinburgh. WIM SCHOUTENS has a degree in Computer Science and a PhD in Science, Mathematics. He is a research professor in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has been a consultant to the banking industry and is author of the Wiley book Lévy Processes in Finance: Pricing Financial Derivatives. His research interests are focused on financial mathematics and stochastic processes. He currently teaches several courses related to financial engineering in different Masters programmes. PAUL WILMOTT has undergraduate and DPhil degrees in Mathematics. He has written over 100 articles on mathematical modeling and finance, as well as internationally acclaimed books including Paul Wilmott on Quantitative Finance published by John Wiley & Sons. Paul has extensive consulting experience in quantitative finance with leading US and European financial institutions. He has founded a university degree course and the popular Certificate in Quantitative Finance. Paul also manages wilmott.com.