Book description
A classic reference source on options including two key papers by the late Fischer Black.
Book details
- ISBN
- 9781906348274
- Publish date
- 1 Sep 1992
- Format
- Size
- A4
Editor biography
Various
Author biography unavailable.
Table of contents
Introduction
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
Bibliography
Glossary
Index
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Customer Reviews
One of the classics
