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Financial Models with Lévy Processes and Volatility Clustering [2011]
- 1
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Introduction
- 19
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Probability Distributions
- 57
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Stable and Tempered Stable Distributions
- 87
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Stochastic Processes in Continuous Time
- 107
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Conditional Expectation and Change of Measure
- 123
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Exponential Levy Models
- 141
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Option Pricing in Exponential Levy Models
- 169
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Simulation
- 225
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Multi‐Tail t‐Distribution
- 247
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Non‐Gaussian Portfolio Allocation
- 271
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Normal GARCH models
- 287
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Smoothly Truncated Stable GARCH Models
- 309
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Infinitely Divisible GARCH Models
- 337
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Option Pricing with Monte Carlo Methods
- 357
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American Option Pricing with Monte Carlo Methods
- 373
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Index
- i
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Front Matter
