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From Black-Scholes to Black Holes

From Black-Scholes to Black Holes

From Black-Scholes to Black Holes

Publisher: Risk Books
ISBN: 9781906348274
Published In: September 1992
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Description
Contents

Details

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

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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