Exotic Option Pricing and Advanced Lévy Models

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An introduction to Lévy processes with applications in finance (2008, background): “A comprehensive overview of several applications of Lévy processes can be found in Prabhu (1998), in Barndorff-Nielsen, Mikosch, and Resnick (2001), in Kyprianou, Schoutens, and Wilmott (2005) and in Kyprianou (2006).”
Fluctuations of Lévy Processes with Applications (2014, background): “For example, 4 The continuous-time arguments are also given in Kyprianou and Surya (2005). Further work in this direction can be found in Deligiannidis et al.”
Optimal Stopping Games and Nash Equilibrium (2009, background): “More recent papers on optimal stopping games include [20], [23], [1], [17], [11], [13], [21], [22], [2] and [3].”
Arbitrage pricing of defaultable game options with applications to convertible bonds (2008, methodology): “The proof of this result is based on a rather straightforward application of Theorem 2.9 in Kallsen and Kühn (2005).”
Some remarks on first passage of Levy processes, the American put and pasting principles (2005, unknown): “ar X iv :m at h/ 05 08 48 7v 1 [ m at h. PR ] 2 5 A ug 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 3, 2062–2080 DOI: 10.1214/105051605000000377 c© Institute of Mathematical Statistics, 2005”