Stochastic neutron transport and non-local branching Markov processes. Probability and its Applications series, Birkhäuser (with Emma Horton).

A lifetime of excursions through random walks and Lévy Processes: A volume in honour of Ron Doney's 80th birthday. Progress in Probability, Birkhäuser, 2021 (edited volume with Loic Chaumont).

Stable Lévy processes via Lamperti-type representations. Cambridge University Press, 2021 (with Juan Carlos Pardo).

Gerber-Shiu Risk Theory. EAA Series, Springer, 2013.

Fluctuations of Lévy process with applications (Second edition). Universitext, Springer, 2014.

(First Edition: Introductory Lectures on fluctuations of Lévy process with applications. Universitext, Springer, 2006.)

The theory of scale functions for spectrally negative Lévy processes. (with Alexey Kuznetsov and Victor Rivero). Lévy Matters II, Springer Lecture Notes in Mathematics, 2013.

Exotic option pricing and advanced Lévy models. (Eds. A. Kyprianou, W. Schoutens and P. Wilmott.) Wiley, 2005.