Continuous Time Approach to Financial Volatility

The idea of this book is to explain how Levy processes can be used to study some problems in finance. The necessary technology is motivated and justified in an opening chapter, and is then followed by chapters explaining the mathematics and computational aspects of the subject. The heart of the book describes applications, with further mathematical ideas introduced as and when needed. The authors cover new ideas not presented in book form before, blending theory and practice, and this account will be of value to all those working in mathematical finance, financial econometrics, probability and statistics.