Part I: Financial Markets and Financial Time Series.- Introduction. Statistical Properties of Financial Market Data. Functioning of Financial Markets and Theoretical Models for Returns. Part II: Econometric Modeling of Asset Returns.- Modeling Volatility. Modeling Higher Moments. Modeling Correlation. Extreme Value Theory. Part III: Applications of Non-Gaussian Econometrics.- Risk Management and VaR. Portfolio Allocation. Part IV: Option Pricing with Non-Gaussian Returns.-Fundamentals of Option Pricing. Non-Structural Option Pricing. Structural Option Pricing. Part V: Appendices on Option Pricing Mathematics.- Brownian Motion and Stochastic Calculus. Martingale and Changing Measure. Characteristic Functions and Fourier Transforms. Jump Processes.- References.- Index.