From Black-Scholes to Black Holes: New Frontiers in Options

  • ID: 220488
  • Book
  • 208 Pages
  • Incisive Media
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A classic reference source on options including two key papers by the late Fischer Black
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The Black-Scholes insight: The foundations of option pricing

Living up to the model
Wonderful life
Building on Black-Scholes
Guiding force

Limitations of the models: Cracks in the foundations

The holes in Black-Scholes
Exorcising the demon
Estimates, guesstimates and rules of thumb

Hedging and option derivatives: The Greek approach

Modern Greek
Building blocks
Mitigating circumstances
Solving the mystery
Semper tempus fugit
The art of the optimum

Interest rate options: Hitting a moving target

Root and branch
New ways with the yield curve
Coming to terms
The A - Z of caps
Which hedge is best?
Behind the mirror

Basket options: Two assets are better than one

An idea whose time has come
Protective basket
Quanto mechanics

Asian and lookback options: Where you get depends on the path you take

Average intelligence
Flexible convolution
Recollection in tranquillity

Exotic options: Anything goes, or the realm of the impossible

Up, over and out
The value in going out
Options for the undecided
One for another

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