The Black-Scholes Model

The Black-Scholes Model
Author :
Publisher : Cambridge University Press
Total Pages : 179
Release :
ISBN-10 : 9781107001695
ISBN-13 : 1107001692
Rating : 4/5 (95 Downloads)

Synopsis The Black-Scholes Model by : Marek Capiński

Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.

The Black–Scholes Model

The Black–Scholes Model
Author :
Publisher : Cambridge University Press
Total Pages : 179
Release :
ISBN-10 : 9781139576703
ISBN-13 : 1139576704
Rating : 4/5 (03 Downloads)

Synopsis The Black–Scholes Model by : Marek Capiński

The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.

Stochastic Calculus for Finance

Stochastic Calculus for Finance
Author :
Publisher : Cambridge University Press
Total Pages : 187
Release :
ISBN-10 : 9781107002647
ISBN-13 : 1107002648
Rating : 4/5 (47 Downloads)

Synopsis Stochastic Calculus for Finance by : Marek Capiński

This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.

Black Scholes and Beyond: Option Pricing Models

Black Scholes and Beyond: Option Pricing Models
Author :
Publisher : McGraw Hill Professional
Total Pages : 512
Release :
ISBN-10 : 0786310251
ISBN-13 : 9780786310258
Rating : 4/5 (51 Downloads)

Synopsis Black Scholes and Beyond: Option Pricing Models by : Neil Chriss

An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.

Derivatives

Derivatives
Author :
Publisher : John Wiley & Sons
Total Pages : 116
Release :
ISBN-10 : 9781119595595
ISBN-13 : 1119595592
Rating : 4/5 (95 Downloads)

Synopsis Derivatives by : Keith Cuthbertson

Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.

Option Pricing Models and Volatility Using Excel-VBA

Option Pricing Models and Volatility Using Excel-VBA
Author :
Publisher : John Wiley & Sons
Total Pages : 456
Release :
ISBN-10 : 9781118429204
ISBN-13 : 1118429206
Rating : 4/5 (04 Downloads)

Synopsis Option Pricing Models and Volatility Using Excel-VBA by : Fabrice D. Rouah

This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies

The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies
Author :
Publisher : Cambridge University Press
Total Pages : 217
Release :
ISBN-10 : 9781108486361
ISBN-13 : 1108486363
Rating : 4/5 (61 Downloads)

Synopsis The Black-Scholes-Merton Model as an Idealization of Discrete-time Economies by : David M. Kreps

"I began this monograph (which, at the time, was a nascent paper) with the objective of understandinghow and how well continuous-time models of economic phenomena - and in particular models that employ Brownian motion - relate to "near by" discrete-time models. We know by examples that the connections are sometimes not altogether obvious; see, for instance, Fudenberg and Levine (2009) and Sadzik and Stacchetti (2015). So, it seemed to me, a general theory connecting the two types of models ought to be available"--

Theory of Rational Option Pricing

Theory of Rational Option Pricing
Author :
Publisher : Legare Street Press
Total Pages : 0
Release :
ISBN-10 : 1015784011
ISBN-13 : 9781015784017
Rating : 4/5 (11 Downloads)

Synopsis Theory of Rational Option Pricing by : Robert C Merton

This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Probability Theory in Finance

Probability Theory in Finance
Author :
Publisher : American Mathematical Soc.
Total Pages : 323
Release :
ISBN-10 : 9780821894903
ISBN-13 : 0821894900
Rating : 4/5 (03 Downloads)

Synopsis Probability Theory in Finance by : Seán Dineen

The use of the Black-Scholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of

Pricing the Future

Pricing the Future
Author :
Publisher : Basic Books
Total Pages : 322
Release :
ISBN-10 : 9780465028153
ISBN-13 : 0465028152
Rating : 4/5 (53 Downloads)

Synopsis Pricing the Future by : George G Szpiro

Options have been traded for hundreds of years, but investment decisions were based on gut feelings until the Nobel Prize -- winning discovery of the Black-Scholes options pricing model in 1973 ushered in the era of the "quants." Wall Street would never be the same. In Pricing the Future, financial economist George G. Szpiro tells the fascinating stories of the pioneers of mathematical finance who conducted the search for the elusive options pricing formula. From the broker's assistant who published the first mathematical explanation of financial markets to Albert Einstein and other scientists who looked for a way to explain the movement of atoms and molecules, Pricing the Future retraces the historical and intellectual developments that ultimately led to the widespread use of mathematical models to drive investment strategies on Wall Street.