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Pricing and hedging in exponential Lévy models: Review of recent results

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

These lecture notes cover a major part of the crash course on financial modeling with jump processes given by the author in Bologna on May 21-22, 2009. After a brief introduction, we discuss three aspects of exponential Lévy models: absence of arbitrage, including more recent results on the absence of arbitrage in multidimensional models, properties of implied volatility, and modern approaches to hedging in these models.

Original languageEnglish
Title of host publicationParis-Princeton Lectures on Mathematical Finance 2010
PublisherSpringer Verlag
Pages319-359
Number of pages41
ISBN (Print)9783642146596
DOIs
Publication statusPublished - 1 Jan 2011

Publication series

NameLecture Notes in Mathematics
Volume2003
ISSN (Print)0075-8434

Keywords

  • Esscher transform
  • Lévy processes
  • absence of arbitrage
  • exponential Lévy models
  • implied volatility
  • quadratic hedging
  • smile modeling

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