[.ca] Non-Gaussian Merton-Black-Scholes Theory (ISBN 9810249446)

unreadable:
This book is like the author's names: unreadable. If you are a hard-core mathematician you maybe like it. If you are a practicioner forget it. Although they claim it, this stuff is not useful in practice. There are also no real application worked out. The stuff on exotics is nice in theory, but not applicable in practice. You are much better of with Shiryaev's book or the book of Schoutens

Difficult to read, even more difficult to apply...:
The authors have attempted the difficult task of gathering in this book a lot of recent research results on Levy processes in option pricing. Many of the results in the book are due to the authors themselves, who are specialists of the field of pseudodifferential calculus. There are a lot of references, not only to their own work but also to others, in maths and finance, which is useful. However, perhaps because of their own background, they have chosen to describe these models using the theory of pseudo-differential operators, a technicallly difficult theory which is not even known to most mathematicians. The result is that the book is impossible to read for non mathematicians and difficult to read even for mathematicians who do not have a background in complex analysis and pseudo-differential operators. In fact I think that it is unncessarily complicated since none of the articles cited use pseudo-differential operators and everything could have been formulated using elemnetary manipulation of Fourier transforms. Another problem is that they give no real world applications on pricing and hedging... Finally, by insisting on 'general results' instead of explicit examples the authors reduce even more the readability.