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.
- Lévy processes
- exponential Lévy models
- absence of arbitrage
- Esscher transform
- implied volatility
- smile modeling
- quadratic hedging
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Tankov, P. (2011). Pricing and Hedging in Exponential Lévy Models: Review of Recent Results. In: Paris-Princeton Lectures on Mathematical Finance 2010. Lecture Notes in Mathematics, vol 2003. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14660-2_5
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