附註:Includes bibliographical references (pages 477-483) and indexes.
Stocks, options and futures -- Fundamental mathematical concepts -- The geometric Brownian motion model of price movements -- The Black-Scholes formula -- More on the Black-Scholes formula -- Binomial trees -- Basic option pricing with binomial trees -- The volatility smile -- Implied volatility trees -- Implied binomial trees -- Pricing barrier options in the presence of the smile.
摘要:In Black-Scholes and Beyond, a clear, detailed book on modern option pricing, Wall Street professional and respected mathematician Neil Chriss provides a comprehensive, one-stop treatment of the most important and potentially profit-making of these theories. Chriss explains the modern theory of option pricing from scratch, with all necessary mathematics and finance included in the text and accessible to the beginner. At the same time, Black-Scholes and Beyond provides in-depth coverage of newer option pricing models, theories and products, with enough detail for options market veterans. Topics covered include Cox-Ross-Rubinstein - Pioneering work on binomial trees, plus several new related methods of option pricing; Derman-Kani - The theory of implied volatility trees is covered comprehensively, but with less complexity than in the original work, and expanded for use with American options; and Implied Binomial Trees - Detailed discussion of the Rubinstein model and introduction of tools for increasing ease of use and utility.
