@inbook{f50bb57a581a4df099cea05be0f15b54,
title = "Pricing and hedging in exponential L{\'e}vy models: Review of recent results",
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 L{\'e}vy 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.",
keywords = "Esscher transform, L{\'e}vy processes, absence of arbitrage, exponential L{\'e}vy models, implied volatility, quadratic hedging, smile modeling",
author = "Peter Tankov",
year = "2011",
month = jan,
day = "1",
doi = "10.1007/978-3-642-14660-2\_5",
language = "English",
isbn = "9783642146596",
series = "Lecture Notes in Mathematics",
publisher = "Springer Verlag",
pages = "319--359",
booktitle = "Paris-Princeton Lectures on Mathematical Finance 2010",
}