This book provides an advanced treatment of option pricing for traders, money managers, and researchers. Providing largely original research not available elsewhere, it covers the latest generation of option models where both the stock price and its volatility follow diffusion processes. These new models help explain important features of real-world option pricing, including the "volatility smile" pattern. The book includes Mathematica code and 37 illustrations
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Alan Lewis has been active in option valuation and financial research for over 20 years. He served as the Director of Research, Chief Investment Officer, and President of the mutual fund family for a money manager specializing in derivative securities. He has published articles in many of the leading financial journals including: The Journal of Business, The Journal of Finance, The Financial Analysts Journal, and Mathematical Finance. He received a Ph.D. in physics from the University of California at Berkeley and a B.S. from Caltech.Review:
"...an impressive collection of methods and results. I found Chapter 7 on equilibrium models particularly helpful." -- Prof. Stephen Taylor, Accounting and Finance, Lancaster University
"...students of the fine art of option pricing are advised to pounce." -- Peter Carr, Head of Quantitative Research, Bloomberg
"I especially liked the treatment of the term structure of implied volatility in Chapter 6 ... a very nice contribution." -- Prof. Nizar Touzi, Dept. Mathematics, University of Paris I
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Descrizione libro Finance Pr, 2000. Paperback. Condizione libro: New. Codice libro della libreria DADAX0967637201
Descrizione libro Finance Pr, 2000. Paperback. Condizione libro: New. book. Codice libro della libreria 0967637201
Descrizione libro Finance Pr, 2000. Paperback. Condizione libro: New. Codice libro della libreria P110967637201
Descrizione libro Finance Pr. PAPERBACK. Condizione libro: New. 0967637201 New Condition. Codice libro della libreria NEW6.0650917
Descrizione libro Finance Pr, 2000. Paperback. Condizione libro: Brand New. 350 pages. 9.25x6.00x1.00 inches. In Stock. Codice libro della libreria 0967637201