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Title: A Superficial Survey
Review: This book is definitely disappointing. The subject in itself is most interesting and deserved better than this. The reasons are the author superficially surveys in 150 pages well-known results : definitions of the various kinds of Lévy processes... definition of a stock (!) ... and only refers to research papers when matters become too involved : exotic options are studied in the Black and Scholes context (!), are said to be difficult to price with a Lévy model, and are only computed by Monte-Carlo methods (see the article of N'Guyen and Yor for a real study). Interest rate theory is not developed enough, as could have been expected. The reader interested in the topic had better buy the books of Sato, Bertoin, and Boyarchenko and Levendorskii, get the PhD thesis of Raible and the articles of Yor and his coauthors.
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