|
|
|
Usually ships within 3 to 5 working days
|
- Product code: 3685
- ISBN: 0786310251,
ISBN13: 9780786310258,
320 pages, hardback
Published by Irwin, 1996
If you have an opinion on this book, we'd love to hear your review - please Email us
|
|
|
|
|
Description of Black-Scholes and Beyond |
Black-Scholes and Beyond is a clear, detailed book on modern option pricing. Wall Street professional and respected mathematician, Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories.
Chriss explains the modern theory of option pricing from scratch, with all necessary mathematics and finance included in the text and accessible to the beginner. At the same time, Black-Scholes and Beyond provides in-depth coverage of newer option pricing models, theories and products, with enough detail for options market veterans.
Topics covered include:
- Cox-Ross-Rubenstein: Pioneering work on binomial trees, plus several new related methods of option pricing.
- Derman-Kani: The theory of implied volatility tree is covered comprehensively, but with less complexity than in the original work, and expanded for American options.
- Implied Binomial Trees: detailed discussion of the Rubinstein model and introduction of tools for increasing ease of use and utility.
In addition, Chriss notes that barrier options are quickly becoming one of the most important and closely followed exotic options. The book presents a clear, convincing and illuminating picture of where options pricing theory has been, where it is today and most important what the future holds.
|
Contents of Black-Scholes and Beyond |
1. Stocks, Options, and Futures
2. Fundamental Mathematical Concepts
3. The Geometric Brownian Motion Model of Price Movements
4. The Black-Scholes Formula
5. More on The Black-Scholes Formula
6. Binomial Trees
7. Basic Option Pricing with Binomial Trees
8. The Volatility Smile
9. Implied Volatility Trees
10. Implied Binomial Trees
11. Pricing Barrier Options In The Presence of The Smile
|
Buyers of Black-Scholes and Beyond also bought
Other books by Neil A. Chriss
|
|
Shopping basket
