A unified development of the subject, presenting the theory of
options in each of the different forms and stressing the
equivalence between each of the methodologies.
* Demystifies some of the more complex topics.
* Derives practical, tangible results using the theory, to help
practitioners in problem solving.
* Applies the results obtained to the analysis and pricing of
options in the equity, currency, commodity and interest rate
markets.
* Gives the reader the analytical tools and technical jargon to
understand the current technical literature available.
* Provides a user-friendly reference on option theory for
practicing investors and traders.
Cuprins
Preface.
PART I: ELEMENTS OF OPTION THEORY.
Fundamentals.
Option Basics.
Stock Price Distribution.
Principles of Option Pricing.
The Black Scholes Model.
American Options.
PART II: NUMERICAL METHODS.
The Binomial Model.
Numerical Solutions of the Black Scholes Equation.
Variable Volatility.
Monte Carlo.
PART III: APPLICATIONS: EXOTIC OPTIONS.
Simple Exotics.
Two Asset Options.
Currency Translated Options.
Options on One Asset at Two Points in Time.
Barriers: Simple European Options.
Barriers: Advanced Options.
Asian Options.
Passport Options.
PART IV: STOCHASTIC THEORY.
Arbitrage.
Discrete Time Models.
Brownian Motion.
Transition to Continuous Time.
Stochastic Calculus.
Equivalent Measures.
Axiomatic Option Theory.
Mathematical Appendix.
Bibliography and References.
Index.
Despre autor
Peter James was educated at Magdalen College, Oxford and at University College, London. His first degrees are in Theoretical Physics and in Econometrics and Statistics, and he has a Ph D in Relativistic Quantum Mechanics.
He was formerly head of International Investment Banking at Nations Bank (now Bank of America).
He has many years experience in the derivatives markets at Merrill Lynch, DKB Financial Products and Credit Agricole Lazard Financial Products, where he is currently Head of Risk Management.
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