Lévy processes form a wide and rich class of random process, and have many applications
ranging from physics to finance. Stochastic calculus is the mathematics of systems …

The story of modelling financial markets with stochastic processes began in 1900 with the
study of Bachelier (1900). He modelled stocks as a Brownian motion with drift. However, the …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be
an important tool in the pricing and hedging of financial derivatives. Following the success of …

Significant changes in the insurance and financial markets are giving increasing attention to
the need for developing a standard framework for risk measurement. Recently, there has …

We propose here a motivation for a mixed local/nonlocal problem with a new type of
Neumann condition. Our description is based on formal expansions and approximations. In …

In this paper we consider the important circumstances involved when risk managers are
concerned with risks that exceed a certain threshold. Such conditions are well-known to …

STUDENT PROCESSES Page 1 Adv. Appl. Prob. 37, 342–365 (2005) Printed in Northern Ireland
© Applied Probability Trust 2005 STUDENT PROCESSES CC HEYDE, ∗ Australian National …

The literature on volatility modelling and option pricing is a large and diverse area due to its
importance and applications. This paper provides a review of the most significant volatility …

Browsing quickly through the almost 400 pages that follow, it will become immediately clear
that this book seems to have been written by mathematicians for mathematicians. And yet …