Customer Reviews

Exotic Option Pricing and Advanced Lvy Models (Wilmott Collection)

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This book is a collection of articles on the use of Levy processes in the modelling, analysis and pricing of exotic markets and options, such as Asian options of American type, exotic derivatives of game type, etc. There is a lot of exotic mathematics and, clearly, the use of Levy processes is suitable for today's exotic applications but also for mathematicians and probabilists who are bored with some of the less exotic stochastic process models. There are several open problems in Levy processes, for instance we understand little about multidimensional processes reflected on some convex set, let alone their stochastic control. I am sure that one can dream of exotic applications of these models as well.

The book is worth reading if you are interested in Levy processes. The only dissapointment is that it lacks an exotic cover. Had it, for example, a picture of an exotic landscape on some exotic island with an exotic human being sipping an exotic pina colada (with low fat ingredients), the book would have been even more exotic.