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From Black-Scholes to Black Holes

Edited By Various

Overview

A classic reference source on options including two key papers by the late Fischer Black.

Publish date: 1 Sep 1992

Availability: In stock

£79.00
OR

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

Customer Reviews

Average customer reviews for From Black-Scholes to Black Holes

One of the classics

This is truly one of the "classic" collections in derivative pricing....from the 'golden era' of the market development - starting where Black-Scholes left off, developing ideas around hedging and the cracks in the model that were already apparent.
Review by Stephen , 29/06/2011

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