Derivatives Pricing

Author: Peter Carr
Publisher: Risk Books
ISBN: 9781904339335
Published In: November 2004
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

Out of stock

Description
Contents
Author

Details

A unique collection of 19 historic papers on quantitative finance - including ground-breaking work by Louis Bachelier, Fischer Black, Robert Merton, Robert Engle and Bruno Dupire. The papers have been specially selected for Risk Books by Peter Carr, professor at the Courant Institute of Mathematical Sciences at NYU and head of quantitative research at Bloomberg.

A collection of the most influential papers on options pricing and derivatives published over the past 100 years - as valuable today as they have ever been
Each chapter holds direct examples that remain cornerstones of modern business practice - combining leading academic thought with the practical insights of authors with years of shop-floor knowledge
Peter Carr presents world-famous papers as well some less widely known gems that are nonetheless as vital to the subject as a whole
Each chapter is highly relevant to financial traders and analysts, and even readers with only a basic grasp of the tools of quantitative finance will find this collection an invaluable guide to financial engineering
Covers option pricing, unified theories of volatility, the theory of speculation, loss probabilities on loan portfolios, credit risk models for loan books, barrier options and more
The collection is divided into four key sections: Classics, Hidden Gems, Risk Hall of Fame and Nobel Prize Winners
Includes timeless contributions from the most famous financial thinkers of modern history Including: Louis Bachelier, Fischer Black, Robert Merton, Robert Engle, Bruno Dupire and others
Provides access to historically important papers you may have been aware of, but have never had the chance to read - some papers never previously published in books form
Derivatives Pricing conclusively proves that true innovation has no sell-by-date

Introduction

Peter Carr, Bloomberg

Section 1: Classics

1 Theory of Speculation

Louis Bachelier, Deceased

2 The Pricing of Commodity Contracts

Fischer Black, Deceased

3 Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, University of Illinois; Robert Jarrow, Cornell University and Andrew Morton, Lehman Brothers

4 Changes of Numéraire, Changes of Probability Measure and Option Pricing

Hélyette Geman, University of Paris Dauphine; Nicole el Karoui, Ecole Polytechnique and Jean-Charles Rochet, University of Toulouse

5 The Market Model of Interest Rate Dynamics

Alan Brace and Marek Musiela, BNP Paribas and Dariusz Gatarek, Capital Markets Group

Section 2: Hidden Gems

6 A Unified Theory of Volatility

Bruno Dupire, Bloomberg

7 Arbitrage Pricing with Stochastic Volatility

Bruno Dupire, Bloomberg

8 A General Theory of Asset Valuation Under Diffusion State Processes

Mark B. Garman, Haas Business School

9 Probability of Loss on Loan Portfolio

Oldrich Alfons Vasicek, MKMV

Section 3: Risk Hall of Fame

10 Quantitative Strategies Research Notes

Emanuel Derman, Columbia University and Iraj Kani, Martingale Technologies

11 Pricing with a Smile

Bruno Dupire, Bloomberg

12 A Generalised Framework for Credit Risk Portfolio Models

H. Ugur Koyluoglu, Mercer Oliver Wyman and Andrew Hickman, ERisk

13 Correlation and Dependence in Risk Management: Properties and Pitfalls

Paul Embrechts, Alexander McNeil and Daniel Straumann, ETHZ

14 Barrier Options

Mark Rubinstein, Haas Business School and Eric Reiner, UBS Warburg

15 Thinking Coherently

Philippe Artzner, University of Strasbourg; Freddy Delbaen, Federal Institute of Technology (ETH); Jean-Marc Eber, Lexifi Technologies and David Heath, Carnegie Mellon Pittsburgh

16 Static Simplicity

Jonathan Bowie and Peter Carr, Bloomberg

Section 4: Nobel Prize Winners

17 The Pricing of Options and Corporate Liabilities

Fischer Black, Deceased and Myron Scholes, Oak Hill Capital

18 Theory of Rational Option Pricing

Robert C. Merton, Harvard Business School

19 Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle, Stern School of Business

Peter Carr is the head of quantitative research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modelling and analytics. He is also the director of the Masters in Math Finance programme at NYU’s Courant Institute. Prior to his current positions, he headed equity derivative research groups for six years at Bank of America Securities and at Morgan Stanley. His prior academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Since receiving his PhD in finance from UCLA in 1989, he has published extensively in both academic and industry-oriented journals. He is currently the treasurer of the Bachelier Finance Society and a practitioner director for the Financial Management Association. Peter has recently won awards from Wilmott Magazine for “Cutting Edge Research“ and from Risk Magazine for “Quant of the Year“