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Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

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Part of the Lecture Notes in Mathematics book series (LNM,volume 2003)

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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