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The Complete Guide to Option Pricing Formulas

Librairie Eyrolles - Paris 5e
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The Complete Guide to Option Pricing Formulas

The Complete Guide to Option Pricing Formulas

- Collection Finance/Investing

540 pages, parution le 02/02/2007 (2eme édition)

Résumé

Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula all presented in an easy-to-use dictionary format, with expert author commentary and ready-to-use programming code.

The Second Edition of this classic guide now includes more than 60 new option models and formulas'extensive tables providing an overview of all formulas'new examples and applications'and an updated CD containing all pricing formulas, with VBA code and ready-to-use Excel spreadsheets.

The volume also features several new chapters covering such things as: option sensitivities, discrete dividend, commodity options, and two chapters on numerical methods covering trees, finite difference and Monte Carlo Simulation.

The new edition of The Complete Guide to Option Pricing Formulas offers quick access to:

  • Options Pricing Overview
  • Black-Scholes-Merton
  • Black-Scholes-Merton Greeks
  • Analytical Formulas for American Options
  • Exotic Options Single Asset
  • Exotic Options on Two Assets
  • Black-Scholes-Merton Adjustments and Alternatives
  • Trees and Finite Difference Methods
  • Monte Carlo Simulation
  • Options on Stocks that Pay Discrete Dividends
  • Commodity and Energy Options
  • Interest Rate Derivatives
  • Volatility and Correlation
  • Distributions
  • Some Useful Formulas: Interpolation, Interest Rates, and Risk-Reward Measures

This all-in-one options pricing guide contains a numerical example or a table with values for each option pricing formula. The book also includes a helpful glossary of notations, as well as an extensive bibliography of related books and articles.

L'auteur Espen Gaarder Haug

Espen Gaarder Haug, has more than 15 years of experience in derivatives trading and research. He has worked as a proprietary option trader at J.P. Morgan Chase in New York, and as an option trader for the hedge funds Amaranth Advisors and Paloma Partners. Dr. Haug has published extensively in journals such as Quantitative Finance, International Journal of Theoretical and Applied Finance, and Wilmott Magazine. He is also a popular lecturer on option pricing, hedging, and risk management and an Adjunct Associate Professor at Norwegian University of Science and Technology.

Sommaire

  • Black-Scholes-Merton
  • Black-Scholes-Merton Greeks
  • Analytical Formulas for American Options
  • Exotic Options Single Asset
  • Exotic Option on Two Assets
  • Black-Scholes- mertoMertonstments and Alternatives
  • Trees and Finite Difference methods
  • Monte Carlo Simulation
  • Options on Stock That Pay Discrete Dividends
  • Commodity and Energy Options
  • Interest Rate Derivatives
  • Volatility and Correlation
  • Distributions
  • Some Useful Formulas
  • The Option Prices Software
Voir tout
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Caractéristiques techniques du livre "The Complete Guide to Option Pricing Formulas"

  PAPIER
Editeur(s) Mc Graw Hill
Auteur(s) Espen Gaarder Haug
Collection Finance/Investing
Parution 02/02/2007
Édition  2eme édition
Nb. de pages 540
Format 20 x 24,5
Couverture Relié
Poids 1210g
Intérieur Noir et Blanc
EAN13 9780071389976
ISBN13 978-0-07-138997-6

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