Andreas Kyprianou & Wim Schoutens 
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.

In recent years, Lévy processes have leapt to the fore as a
tractable mechanism for modeling asset returns. Exotic option
values are especially sensitive to an accurate portrayal of these
dynamics. This comprehensive volume provides a valuable service for
financial researchers everywhere by assembling key contributions
from the world’s leading researchers in the field. Peter Carr, Head
of Quantitative Finance, Bloomberg LP.

This book provides a front-row seat to the hottest new field in
modern finance: options pricing in turbulent markets. The old
models have failed, as many a professional investor can sadly
attest. So many of the brightest minds in mathematical finance
across the globe are now in search of new, more accurate models.
Here, in one volume, is a comprehensive selection of this
cutting-edge research. Richard L. Hudson, former Managing Editor of
The Wall Street Journal Europe, and co-author with Benoit B.
Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of
Risk, Ruin and Reward

About the author

ANDREAS KYPRIANOU has a degree in Mathematics from Oxford
University and a Ph D 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 Ph D
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.