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Options Markets : American Options, Numerical Methods and Risk Management Options Markets : American Options, Numerical Methods and Risk Management

Edited by George M. Constantinides and A.G. Malliaris

Table of Contents

Volume I:
Acknowledgements
Introduction George M. Constantinides and A.G. Malliaris

PART I THE CLASSICS
1. Louis Bachelier (1964), ‘Theory of Speculation’
2. Paul A. Samuelson (1965), ‘Rational Theory of Warrant Pricing’ and ‘Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem of Mathematical Economics’
3. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
4. Robert C. Merton (1973), ‘Theory of Rational Option Pricing’

PART II PEDAGOGIGAL REVIEWS
5. Clifford W. Smith, Jr. (1976), ‘Option Pricing: A Review’
6. A.G. Malliaris (1983), ‘Itô’s Calculus in Financial Decision Making’
7. Robert C. Merton (1998), ‘Applications of Option-Pricing Theory: Twenty-Five Years Later’
8. Myron S. Scholes (1998), ‘Derivatives in a Dynamic Environment’

PART III THEORETICAL FOUNDATIONS AND RISK-NEUTRAL VALUATION
9. John C. Cox and Stephen A. Ross (1976), ‘The Valuation of Options for Alternative Stochastic Processes’
10. Stephen A. Ross (1976), ‘Options and Efficiency’
11. George M. Constantinides (1978), ‘Market Risk Adjustment in Project Valuation’
12. J. Michael Harrison and David M. Kreps (1979), ‘Martingales and Arbitrage in Multiperiod Securities Markets’
13. J. Michael Harrison and Stanley R. Pliska (1981), ‘Martingales and Stochastic Integrals in the Theory of Continuous Trading’
14. Freddy Delbaen and Walter Schachermayer (1994), ‘A General Version of the Fundamental Theorem of Asset Pricing’

PART IV THE BINOMIAL TREE APPROACH
15. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’
16. Daniel B. Nelson and Krishna Ramaswamy (1990), ‘Simple Binomial Processes as Diffusion Approximations in Financial Models’
17. Mark Rubinstein (1994), ‘Implied Binomial Trees’

PART V STOCHASTIC VOLATILITY MODELS
18. James B. Wiggins (1987), ‘Option Values Under Stochastic Volatility: Theory and Empirical Estimates’
19. Steven L. Heston (1993), ‘A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options’
20. Marc Romano and Nizar Touzi (1997), ‘Contingent Claims and Market Completeness in a Stochastic Volatility Model’
Name Index

Volume II:

PART I OPTIONS ON FUTURES AND CURRENCIES
1. Fischer Black (1976), ‘The Pricing of Commodity Contracts’
2. Mark B. Garman and Steven W. Kohlhagen (1983), ‘Foreign Currency Option Values’

PART II INTEREST-RATE DERIVATIVES
3. Oldrich Vasicek (1977), ‘An Equilibrium Characterization of the Term Structure’
4. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
5. Darrell Duffie and Rui Kan (1996), ‘A Yield-Factor Model of Interest Rates’
6. George M. Constantinides (1992), ‘A Theory of the Nominal Term Structure of Interest Rates’
7. Farshid Jamshidian (1989), ‘An Exact Bond Option Formula’
8. Thomas S.Y. Ho and Sang-Bin Lee (1986), ‘Term Structure Movements and Pricing Interest Rate Contingent Claims’
9. Fischer Black, Emanuel Derman and William Toy (1990), ‘A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options’
10. John Hull and Alan White (1990), ‘Pricing Interest-Rate-Derivative Securities’
11. David Heath, Robert Jarrow and Andrew Morton (1992), ‘Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation’
12. Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann (1997), ‘Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates’

PART III EXOTICS
13. William Margrabe (1978), ‘The Value of an Option to Exchange One Asset for Another’
14. René M. Stulz (1982), ‘Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications’
15. Robert Geske (1979), ‘The Valuation of Compound Options’
16. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), ‘Path Dependent Options: “Buy at the Low, Sell at the High”’
17. Antoine Conze and Viswanathan (1991), ‘Path Dependent Options: The Case of Lookback Options’
18. Hélyette Geman and Marc Yor (1996), ‘Pricing and Hedging Double-Barrier Options: A Probabilistic Approach’

PART IV REAL OPTIONS
19. Michael J. Brennan and Eduardo S. Schwartz (1985), ‘Evaluating Natural Resource Investments’
20. James L. Paddock, Daniel R. Siegel and James L. Smith (1988), ‘Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases’
21. Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1992), ‘Waiting to Invest: Investment and Uncertainty’
22. George M. Constantinides (1984), ‘Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns’
23. Joseph T. Williams (1993), ‘Equilibrium and Options on Real Assets’
24. Steven R. Grenadier (1996), ‘The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets’

PART V EMPIRICAL EVIDENCE
25. Mark Rubinstein (1985), ‘Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978’
26. Gurdip Bakshi, Charles Cao and Zhiwu Chen (1997), ‘Empirical Performance of Alternative Option Pricing Models’
27. Bernard Dumas, Jeff Fleming and Robert E. Whaley (1998), ‘Implied Volatility Functions: Empirical Tests’
28. Yacine Aït-Sahalia and Andrew W. Lo (1998), ‘Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices’
29. Jeremy Stein (1989), ‘Overreactions in the Options Market’
Name Index

Volume III:

PART I PRICING AMERICAN OPTIONS
1. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’
2. Robert Geske and H.E. Johnson (1984), ‘The American Put Option Valued Analytically’
3. Giovanni Barone-Adesi and Robert E. Whaley (1987), ‘Efficient Analytic Approximation of American Option Values’
4. A. Bensoussan (1984), ‘On the Theory of Option Pricing’

PART II NUMERICAL METHODS
5. Michael J. Brennan and Eduardo S. Schwartz (1978), ‘Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis’
6. Sanjiv Ranjan Das (1996), ‘Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes’
7. Phelim P. Boyle (1977), ‘Options: A Monte Carlo Approach’
8. Phelim Boyle, Mark Broadie and Paul Glasserman (1997), ‘Monte Carlo Methods for Security Pricing’
9. Phelim P. Boyle (1988), ‘A Lattice Framework for Option Pricing with Two State Variables’
10. Mark Broadie and Paul Glasserman (1997), ‘Pricing American-style Securities Using Simulation’

PART III TRADING AND HEDGING WITH TRANSACTION COSTS
11. Phelim P. Boyle and David Emanuel (1980), ‘Discretely Adjusted Option Hedges’
12. Stephen Figlewski (1989), ‘Options Arbitrage in Imperfect Markets’
13. Hayne E. Leland (1985), ‘Option Pricing and Replication with Transactions Costs’
14. Bernard Bensaid, Jean-Philippe Lesne, Henri Pagès and José Scheinkman (1992), ‘Derivative Asset Pricing with Transaction Costs’
15. Mark H.A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou (1993), ‘European Option Pricing with Transaction Costs’
16. George M. Constantinides and Thaleia Zariphopoulou (1999), ‘Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences’
17. Sanford J. Grossman (1988), ‘An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies’

PART IV CREDIT RISK
18. Francis A. Longstaff and Eduardo S. Schwartz (1995), ‘A Simple Approach to Valuing Risky Fixed and Floating Rate Debt’
19. Robert A. Jarrow and Stuart M. Turnbull (1995), ‘Pricing Derivatives on Financial Securities Subject to Credit Risk’
20. Darrell Duffie and Kenneth J. Singleton (1997), ‘An Econometric Model of the Term Structure of Interest-Rate Swap Yields’

PART V VALUE AT RISK
21. Darrell Duffie and Jun Pan (1997), ‘An Overview of Value at Risk’
22. Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath (1999), ‘Coherent Measures of Risk’
Name Index


The Debt Market : Valuation : The General Theory The Debt Market : Valuation : The General Theory

Edited by Stephen A. Ross

Table of Contents

Volume I:
Acknowledgements
Introduction

Part I The Classical Expectations Hypothesis
1. F.A. Lutz (1941), ‘The Structure of Interest Rates’
2. J.M. Culbertson (1957), ‘The Term Structure of Interest Rates’
3. John H. Wood (1964), ‘The Expectations Hypothesis, the Yield Curve, and Monetary Policy’
4. Franco Modigliani and Richard Sutch (1966), ‘Innovations in Interest Rate Policy’
5. J. Huston McCulloch (1975), ‘An Estimate of the Liquidity Premium’

Part II Testing Rational Expectations Hypotheses
6. Robert J. Shiller (1990), ‘The Term Structure of Interest Rates’
7. John Y. Campbell and Robert J. Shiller (1991), ‘Yield Spreads and Interest Rate Movements: A Bird’s Eye View’
8. Robert F. Stambaugh (1988), ‘The Information in Forward Rates: Implications for Models of the Term Structure’
9. Eugene F. Fama (1975), ‘Short-Term Interest Rates as Predictors of Inflation’
10. Bradford Cornell (1978), ‘Monetary Policy, Inflation Forecasting and the Term Structure of Interest Rates’
11. Eugene F. Fama (1984), ‘Term Premiums in Bond Returns’
12. Tadashi Kikugawa and Kenneth J. Singleton (1994), ‘Modeling the Term Structure of Interest Rates in Japan’

Part III The Derivative Asset Approach to the Term Structure
13. Robert C. Merton (1973), ‘Theory of Rational Option Pricing’
14. John C. Cox and Stephen A. Ross (1976), ‘The Valuation of Options for Alternative Stochastic Processes’
15. Oldrich Vasicek (1977), ‘An Equilibrium Characterization of the Term Structure’
16. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates’
17. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
18. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘An Intertemporal General Equilibrium Model of Asset Prices’
19. Michael J. Brennan and Eduardo S. Schwartz (1979), ‘A Continuous Time Approach to the Pricing of Bonds’
20. David Heath, Robert Jarrow and Andrew Morton (1992), ‘Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation’
21. Philip H. Dybvig, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1996), ‘Long Forward and Zero-Coupon Rates Can Never Fall’
Name Index

Volume II:

Part I Testing the Derivative Asset Approach
1. Stephen J. Brown and Philip H. Dybvig (1986), ‘The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates’
2. Robert Litterman and José Scheinkman (1991), ‘Common Factors Affecting Bond Returns’
3. Robert Litterman, José Scheinkman and Laurence Weiss (1991), ‘Volatility and the Yield Curve’
4. Michael R. Gibbons and Krishna Ramaswamy (1993), ‘A Test of the Cox, Ingersoll, and Ross Model of the Term Structure’
5. Roger H. Brown and Stephen M. Schaefer (1994), ‘The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model’

Part II Implementing the Derivative Asset Approach
6. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’
7. Thomas S.Y. Ho and Sang-Bin Lee (1986), ‘Term Structure Movements and Pricing Interest Rate Contingent Claims’
8. Fischer Black, Emanuel Derman and William Toy (1990), ‘A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options’
9. John Hull and Alan White (1990), ‘Pricing Interest-Rate-Derivative Securities’

Part III Taxation and Clientele Effects
10. J. Huston McCulloch (1975), ‘The Tax-Adjusted Yield Curve’
11. Philip H. Dybvig and Stephen A. Ross (1986), ‘Tax Clienteles and Asset Pricing’ and ‘Discussion’
12. Walter N. Torous (1985), ‘Differential Taxation and the Equilibrium Structure of Interest Rates’
13. Stephen M. Schaefer (1982), ‘Tax-Induced Clientele Effects in the Market for British Government Securities: Placing Bounds on Security Values in an Incomplete Market’
14. Richard Roll (1984), ‘After-Tax Investment Results from Long-Term vs. Short-Term Discount Coupon Bonds’
15. George M. Constantinides and Jonathan E. Ingersoll, Jr. (1984), ‘Optimal Bond Trading with Personal Taxes’

Part IV Duration, Immunization and Hedging
16. F.M. Redington (1952), ‘Review of the Principles of Life-Office Valuations’
17. Lawrence Fisher and Roman L. Weil (1971), ‘Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies’
18. G.O. Bierwag (1977), ‘Immunization, Duration, and the Term Structure of Interest Rates’
19. Jonathan E. Ingersoll, Jr., Jeffrey Skelton and Roman L. Weil (1978), ‘Duration Forty Years Later’
20. Jonathan E. Ingersoll, Jr. (1983), ‘Is Immunization Feasible? Evidence from the CRSP Data’
21. Stephen M. Schaefer (1984), ‘Immunisation and Duration: A Review of Theory, Performance and Applications’
22. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1979), ‘Duration and the Measurement of Basis Risk’
Name Index

Volume III:

Part I Corporate Bonds
1. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
2. Robert C. Merton (1974), ‘On the Pricing of Corporate Debt: The Risk Structure of Interest Rates’
3. Fischer Black and John C. Cox (1976), ‘Valuing Corporate Securities: Some Effects of Bond Indenture Provisions’
4. Jonathan E. Ingersoll, Jr. (1977), ‘A Contingent-Claims Valuation of Convertible Securities’
5. Michael J. Brennan and Eduardo S. Schwartz (1977), ‘Savings Bonds, Retractable Bonds and Callable Bonds’
6. Clifford W. Smith, Jr. and Jerold B. Warner (1979), ‘On Financial Contracting: An Analysis of Bond Covenants’
7. René M. Stulz and Herb Johnson (1985), ‘An Analysis of Secured Debt’
8. Edward I. Altman (1989), ‘Measuring Corporate Bond Mortality and Performance’
9. Robert Litterman and Thomas Iben (1991), ‘Corporate Bond Valuation and the Term Structure of Credit Spreads’
10. Kenneth B. Dunn and Kenneth M. Eades (1989), ‘Voluntary Conversion of Convertible Securities and the Optimal Call Strategy’
11. Douglas W. Diamond (1993), ‘Seniority and Maturity of Debt Contracts’

Part II Mortgages and Other Fixed Income Instruments
12. Scott M. Pinkus, Susan Mara Hunter and Richard Roll (1987), ‘An Introduction to the Mortgage Market and Mortgage Analysis’
13. Douglas T. Breeden (1991), ‘Risk, Return, and Hedging of Fixed-Rate Mortgages’
14. Scott F. Richard and Richard Roll (1989), ‘Prepayments on Fixed-Rate Mortgage-Backed Securities’
15. Eduardo S. Schwartz and Walter N. Torous (1989), ‘Valuing Stripped Mortgage-Backed Securities’
16. Sheridan Titman and Walter Torous (1989), ‘Valuing Commercial Mortgages: An Empirical Investigation of the Contingent-Claims Approach to Pricing Risky Debt’
17. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1980), ‘An Analysis of Variable Rate Loan Contracts’
18. Krishna Ramaswamy and Suresh M. Sundaresan (1986), ‘The Valuation of Floating-Rate Instruments: Theory and Evidence’
19. Richard Roll (1996), ‘U.S. Treasury Inflation-Indexed Bonds: The Design of a New Security’
Name Index


Handbooks in Mathematical FinanceOption Pricing, Interest Rates and Risk Management (Handbooks in Mathematical Finance)

Edited by Elyes Jouini, Jaksa Cvitanic, Marek Musiela

Table of Contents

Introduction

Part I. Option Pricing: Theory and Practice:
1. Arbitrage theory Yu. M. Kabanov
2. Market models with frictions: arbitrage and pricing issues E. Jouini and C. Napp
3. American options: symmetry properties J. Detemple
4. Purely discontinuous asset price processes D. Madan
5. Latent variable models for stochastic discount factors R. Garcia and I. Renault
6. Monte Carlo methods for security pricing P. Boyle, M. Broadie and P. Glasserman

Part II. Interest Rate Modeling:
7. A geometric view of interest rate theory T. Bjork
8. Towards a central interest rate model A. Brace, T. Dun and G. Barton
9. Infinite dimensional diffusions, Kolmogorov equations and interest rate models B. Goldys and M. Musiela
10. Libor market model with semimartingales F. Jamshidian
11. Modeling of forward Libor and swap rates M. Rutkowski

Part III. Risk Management and Hedging:
12. Credit risk modeling, intensity based approach T. Bielecki and M. Rutkowski
13. Towards a theory of volatility trading P. Carr and D. Madan
14. Shortfall risk in long-term hedging with short-term futures contracts P. Glasserman
15. Numerical comparison and local risk-minimisation and mean-variance hedging D. Heath, E. Platen and M. Schweizer
16. A guided tour through quadratic hedging approaches M. Schweizer

Part IV. Utility Maximization:
17. Theory of portfolio optimization in markets with frictions J. Cvitanic
18. Bayesian adaptive portfolio optimization I. Karatzas and X. Zhao.


The Handbook of Fixed Income Securities (6th Edition)

by Frank J. Fabozzi (Editor), Published August 2000

Our Price: $79.96, You Save $19.99 (20%)
Frank J. Fabozzi Library
 

Table of Contents


Part 1: Background.
Chapter 1: Overview of the Types and Features of Fixed Income Securities.
Chapter 2: Risks Associated with Investing in Fixed Income Securities.
Chapter 3: A Review of the Time Value of Money.
Chapter 4: Bond Pricing and Return Measures.
Chapter 5: Measuring Interest Rate Risk.
Chapter 6: The Sturcture of Interest Rates.
Chapter 7: Bond Market Indexes.


Part 2: Government and Private Debt Obligations.
Chapter 8: U.S. Treasury and Agency Securities.
Chapter 9: Municipal Bonds.
Chapter 10: Private Money Market Instruments.
Chapter 11: Corporate Bonds.
Chapter 12: Medium-Term Notes.
Chapter 13: Inflation-Indexed Bonds (Tips).
Chapter 14: Floating-Rate Securities.
Chapter 15: Nonconvertible Preferred Stock.
Chapter 16: International Bond Markets and Instruments.
Chapter 17: Brady Bonds.
Chapter 18: Stable Value Investments.


Part 3: Credit Analysis.
Chapter 19: Credit Analysis for Corporate Bonds.
(and more...)



New Directions in Mathematical Finance
by Paul Wilmott, Henrik Rasmussen / Published April 2001

List Price: $95.00

Paul Wilmott on Quantitative Finance, 2 Volume Set


by Paul Wilmott, C. A. Tisdell / Published June 2000
2 Volumes in Slipcase, 1100 pages
List Price: $149.95, Our Price: $119.96 ~ You Save: $29.99 (20%)

Derivatives : The Theory and Practice of Financial Engineering
by Paul Wilmott / Published 1999 Wiley Frontiers in Finance Series
List Price: $99.00
 

Table of Contents

BASIC THEORY OF DERIVATIVES.
Products and Markets.
Derivatives.
The Random Behavior of Assets.
Elementary Stochastic Calculus.
The Black-Scholes Model.
Partial Differential Equations.
The Black-Scholes Formulae and the 'Greeks'.
Simple Generalizations of the Black-Scholes World.
Early Exercise and American Options.
Probability Density Functions and First Exit Times.
Multi-asset Options.
The Binomial Model.
PATH DEPENDENCY.
An Introduction to Exotic and Path-dependent Options.
Barrier Options.
Strongly Path-dependent Options.
Asian Options.
Lookback Options.
Miscellaneous Exotics.
EXTENDING BLACK-SCHOLES.
Defects in the Black-Scholes Model.
Discrete Hedging.
Transaction Costs.
Volatility Smiles and Surfaces.
Stochastic Volatility.
Uncertain Parameters.
Empirical Analysis of Volatility.
Jump Diffusion.
Crash Modeling.
Speculating with Options.
The Feedback Effect of Hedging in Illiquid Markets.
Static Hedging.
INTEREST RATES AND PRODUCTS.
Fixed-income Products and Analysis: Yield, Duration and Convexity.
Swaps.
One-factor Interest Rate Modeling.
Yield Curve Fitting.
Interest Rate Derivatives.
Convertible Bonds.
Two-factor Interest Rate Modeling.
Empirical Behavior of the Spot Interest Rate.
Heath, Jarrow and Morton.
Interest-rate Modeling Without Probabilities.
RISK MEASUREMENT AND MANAGEMENT.
Portfolio Management.
Value at Risk.
Credit Risk.
Credit Derivatives.
RiskMetrics, CreditMetrics and CrashMetrics.
NUMERICAL METHODS.
Finite-difference Methods for One-factor Models.
Further Finite-difference Methods for One-factor Models.
Finite-difference Methods for Two-factor Models.
Monte Carlo Simulation and Related Methods.
Finite-difference Programs.
Epilog.
Bibliography.
Index.



 
An Introduction to the Mathematics of Financial Derivatives, Second Edition
by Salih N. Neftci / Hardcover - 540 pages / Published April 2000

Our Price: $59.95

Table of Contents

Financial Derivatives: A Brief Introduction.
A Primer on Arbitrage Theorem.
Calculus in Deterministic and Stochastic Environments.
Pricing Derivatives: Models and Notation.
Tools in Probability Theory.
Martingales and Martingale Representations.
Differentiation in Stochastic Environments.
The Wiener Process and Rare Events in Financial Markets.
Integration in Stochastic Environments: The Ito Integral.
Ito's Lemma.
The Dynamics of Derivative Prices: Stochastic Differential Equations.
Pricing Derivative Products: Partial Differential Equations.
The Black-Scholes PDE: An Application.
Pricing Derivative Products: Equivalent Martingale Measures.
Equivalent Martingale Measures: Applications.
New Results and Tools for Interest Sensitive Securities.
Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates.
Modeling Term Structure and Related Concepts.
Classical and HJM Approaches to Fixed Income.
Classical PDE Analysis for Interest Rate Derivatives.
Relating Conditional Expectations to PDEs.
Stopping Times and American-Type Securities.
Bibliography.
Index.


An Introduction to the Mathematics of Financial Derivatives, First Edition
by Salih N. Neftci / Hardcover / Published October 1996
Our Price: $54.95

Option Valuation under Stochastic Volatility : with Mathematica Code
by Alan L. Lewis /  Published February 1, 2000 
Our Price: $78.00 ~ You Save: $19.50 (20%)

 

 

Book Description

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.

About the Author

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.

Table of Contents

Preface
Historical Volatility of the S&P 500 Index

1. Introduction and Summary of Results
    Summary of Results
    The Hedging Argument of Black and Scholes
    The Drift Cancellation and Option Sensitivities
    The Hedging Argument under Stochastic Volatility
    The Martingale Approach
    App. 1.1 Parameter Estimators for the GARCH Diffusion Model
    App. 1.2  Solutions to PDEs

2. The Fundamental Transform
    Assumptions
    The Transform-based Solution
    Some Models with Closed-form Solutions
    Analytic Characteristic Functions
    A Bond Price Analogy and Option Price Bound
    App. 2.1 Recovery of the Black and Scholes Solution
    App. 2.2 Mathematica Code for Chapter 2
    App. 2.3 General Properties of Option Prices

3. The Volatility of Volatility Series Expansion
    Assumptions
    General Steps in the  expansion
    The Two Series for a Parameterized Model
    App. 3.1  Details of the Volatility of Volatility Expansion

4. Mixing Solutions and Applications
    The Basic Mixing Solution
    Connection between Mixing Densities and the Fundamental Transform
    A Monte Carlo Application
    Arbitrary Payoff Functions
    A More General Model without Correlation

5. The Smile
     Introduction and Summary of Results
    The Symmetric Case
    The Correlated Case
    Deducing the Risk-adjusted Volatility Process from Option Prices
    App. 5.1 Calculating Volatility Moments
    App. 5.2 Working with Differential Operators in  Mathematica
    App. 5.3  Additional Mathematica Code for Chapter 5
    App. 5.4  Calculating with the Mixing Theorem

6. The Term Structure of Implied Volatility
    Deterministic Volatility
    Deterministic Volatility II: a Transform Perspective
    Stochastic Volatility-The Eigenvalue Connection
    Example I: The Square Root Model
    Example II: The 3/2 Model
    Example III: The GARCH Diffusion Model
    A Variational Principle Method
    A Differential Equation (Dsolve) Method
    App. 6.1 Mathematica Code for Chapter 6

7. Utility-based Equilibrium Models
    A Representative Agent Economy
    Examples
    The Pure Investment Problem with a Distant Planning Horizon
    Preference Adjustments to the Volatility of Volatility Series Expansion
    The Effect of Risk Attitudes on Option Prices

8. Duality and Changes of Numeraire
    Put-Call Duality
    Introduction to the Change of Numeraire
    Mathematics of the Change of Numeraire
    Implications for the Term Structure

9. Volatility Explosions and the
    Failure of the Martingale Pricing Formula
    Introduction
   The Feller Boundary Classifications
   Volatility Explosions I
   Volatility Explosions II. Failure of the Martingale Pricing Formula
   When Martingale Pricing Fails: Generalized Pricing Formulas
   Generalized Pricing Formulas and the Transform-based Solutions
   Generalized Pricing Formulas. Example I: the 3/2 Model
   Generalized Pricing Formulas. Example II: the CEV Model

10. Option Prices at Large Volatility
      Introduction
      Asymptotica for the Fundamental Transform

11. Solutions to Models
      The Square Root Model
      The 3/2 Model
      Geometric Brownian Motion

References
Index
Frequent Notations and Abbreviations
About the Author


Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options
by Riccardo Rebonato / Published January 2000 
Wiley Series in Financial Engineering

Our Price: $88.00 ~ You Save: $22.00 (20%)

Table of Contents

Foreword
Acknowledgements
Case Studies

PART ONE : FOUNDATIONS

Volatility: Fundamental Concepts and
Definitions
Introduction and Plan of the Chapter
Fundamental Concepts and Definitions
Hedging Forward Contracts Using Spot Quantities
Hedging Options: Volatilities of Spot and Forward Processes
Definitions
A Series of Options on Futures Contracts
Hedging an Option with a Forward-Setting Strike
Switching from the Real World to the Pricing Measure
Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds
Introduction and Plan of the Chapter
Hedging a Plain-Vanilla Option in the
Presence of Constant Volatility
Hedging a Plain-Vanilla Option in the Presence of Time-Dependent Volatility
First View
Second View
Third View
Hedging a Plain-Vanilla Option When the Real-World Process is Mean Reverting
Hedging a Plain-Vanilla Option With Finite Re-Hedging Intervals
Instantaneous and Terminal Correlations
Introduction
The Stochastic Evolution of Imperfectly Correlated Variables
The Role of Terminal Correlation in the Joint Evolution of Stochastic Variables
Case 1: European Option, One Underlying Asset
Case 2: Path-Dependent Option, One Asset
Case 3: Path-Dependent Option, Two Assets
Generalising the Results

PART TWO : DEALING WITH SMILES

Pricing Options in the Presence of Smiles
Introduction
Hedging With a Compensated Process: Plain-Vanilla and Binary Options
Smile Tale 1: `Sticky' Smiles
Smile Tale 2: `Floating' Smiles
Stylised Empirical Facts About Smiles
Equities
Interest Rates
Foreign Exchange Rates
General Features of the Smile-Modelling Approaches
Fully Stochastic Volatility Models
Complete-Markets Jump--Diffusion Models
Random-Amplitude Jump--Diffusion Models
Stochastic Volatility Functionally Dependent on the Underlying (Restricted-Stochastic-Volatility) Models
Risk Derivatives for Plain-Vanilla Options in the Presence of Smiles
Tree Methodologies for Smiley Option Prices
Introduction
General Considerations on Stochastic-Volatility Models
The Dupire, Rubinstein and Derman and Kani Approaches
Green's Function (Arrow--Debreu Prices) in the DK Construction
The Derman and Kani Tree Construction
Numerical Aspects of the Implementation of the DK Construction
Implementation Results
Efficient Extraction of the Future Local Volatility from Plain-Vanilla Option Prices
Introduction
The Computational Framework
Computational Results
The Link Between Implied and Local Volatility Surfaces
Symmetric (`FX') Smiles
Asymmetric (`Equity') Smile Surface
Monotonic (`Interest-Rate') Smile Surface
Gaining an Intuitive Understanding
No-Arbitrage Conditions on the Implied Volatility Smile Surface
A Worked-Out Example: Pricing Continous Double Barriers in the Presence of Smiles
Analysis of the Cost of Unwinding and Related Considerations About Option Pricing in the Presence of Smiles
Appendix 6.1: Proof that Closed-Form Solutions for Smiley Option Prices via Direct Modelling of the Density
Introduction
Estimating the Risk-Neutral Density Function
Derivation of Analytic Formulae
Results and Applications
Conclusions and Range of Possible Applications
Appendix 7.1 Obtaining the Density of the Underlying from Quoted Option Prices
Explaining Smiles by Means of Mixed Jump---Diffusion Processes
Introduction
The Financial Model: Smile Tale 2 Revisited
Analytic Description of Mixed Jump--Diffusion Processes
A General Framework for Option Pricing in Complete or Incomplete Markets
Finding the Optimal Hedge
Numerical Implementation of the Britten-Jones-Neuberger Methodology
Computational Results
Discussion of the Results and Possible
Developments

PART THREE : INTEREST RATES

The Role of Mean Reversion in Interest-Rate Models
Introduction: Why Mean Reversion Matters in the Case of Interest-Rate Models
The BDT Mean-Reversion Paradox
The Unconditional Variance of the Short Rate in BDT---The Discrete Case
The Unconditional Variance of the Short Rate in BDT---The Continuous-Time Equivalent
Mean Reversion in Short-Rate Lattices: The Equi-Probable Binomial Versus the Bushy-Tree Approach
Extension to More General Interest-Rate Models: The `True' Role of Mean Reversion
Appendix 9.1: Evaluation of the Variance of the Logarithm of the Instantaneous Short Rate
Optimal Calibration of the Brace--Gatarek--Musiela Model
Introduction and Statement of the Problem
Constructing the Most General BGM (Market)
Model
A Worked-Out Example: Caplets and a Two-Period Swaption
A Worked-Out Example: Serial Options
Reducing the Dimensionality of the BGM Model
Numerical Results
Fitting the Correlation Surface with a Three-Factor Model
Fitting the Correlation Surface with a Four-Factor Model
Conclusions
Specifying the Instantaneous Volatility of Forward Rates
The Link Between Instantaneous Volatility and the Future Term Structure of Volatilities
A Functional Form for the Instantaneous Volatility Function
Fitting the Instantaneous Volatility Function: Imposing Time-Homogeneity of the Term Structure of Volatilities
Fitting the Instantaneous Volatility Function: Information from the Swaption Market
Conclusions
References
Index




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Table of Contents

BROWNIAN MOTION

Basics About Brownian Motion
Brownian Motion in Higher Dimensions
Gaussian Processes and Levy Processes

SOME CLASSICAL THEORY

Basic Measure Theory
Basic Probability Theory
Stochastic Processes
Discrete-Parameter Martingale Theory
Continuous-Parameter Supermartingales
Probability Measure on Lusin Spaces

MARKOV PROCESSES

Transition Functions and Resolvents
Feller-Dynkin Processes
Additive Functionals
Approach to Ray Processes: The Martin Boundary
Ray Processes
Applications
References
Index.



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Frank J. Fabozzi, James L. Grant / Hardcover / Published February 1999 Frank J. Fabozzi Library

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Introduction to Quantitative Methods for Investment Managers
Frank J. Fabozzi / Hardcover / Published February 1999 Frank J. Fabozzi Library

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Perspectives on Investment Management of Public Pension Funds
Frank J. Fabozzi (Editor) / Hardcover / Published July 1999 Frank J. Fabozzi Library

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Patterns in the Dark: Understanding Risk and Financial Crisis with Complexity Theory
Edgar E. Peters / Hardcover / Published April 1999

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Relative Dividend Yield Common Stock Investing for Income and Appreciation : Common Stock Investing for Income and Appreciation
Anthony E. Spare / Hardcover / 2nd Edition Published 1999 Wiley Frontiers in Finance Series
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Playing for Keeps : Ten Trading Systems That Really Work : Synergetic technical Analysis
Thomas A. Bierovic / Hardcover / Published 1999 Trading Bookshelf

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Financial Markets Tick by Tick : Insights in Financial Markets Microstructure
Pierre Lequeux (Editor) / Hardcover / Published April 1999

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Integrated Technical Analysis
Ian Copsey / Hardcover / Published May 1999

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Long-Term Secrets to Short-Term Trading
Larry R. Williams / Hardcover / Published March 1999 Trading Bookshelf
IRWIN Trader's Edge Series

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Macro Trading & Investment Strategies : Macroeconomic Arbitrage in Global Markets
Gabriel Burstein / Hardcover / Published February 1999 Trading Bookshelf
IRWIN Trader's Edge Series

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Pricing Convertible Bonds
Kevin B. Connolly / Hardcover / Published March 1999

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The Trading Game : Playing by the Numbers to Make Millions
Ryan Jones / Hardcover / Published May 1999 Trading Bookshelf
IRWIN Trader's Edge Series

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Total Risk Management : Trading What Matters With Options (The Dynamic Option Selection System: Analyzing Markets and Managing Risk)
Howard Simons / Hardcover / Published October 1999 Trading Bookshelf

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Nonlinear Pricing : Theory & Applications
Christopher T. May / Hardcover / Published January 1999
IRWIN Trader's Edge Series

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Lessons from the Pit, A Successful Veteran of the Chicago Mercantile Exchange Shows Executives How to Thrive in a Competitive Environment
B. Joseph Leininger, W. Terry Whalin / Hardcover / Published May 1999 Trading Bookshelf
IRWIN Trader's Edge Series
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Strategic Trading in the Foreign Exhange Markets : Insights from Foreign Exchange Traders Worldwide
Gary Klopfenstein (Editor) / Hardcover / Published 1999 Trading Bookshelf
IRWIN Trader's Edge Series

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High Yield Bonds : Market Structure, Portfolio Management, and Credit Risk Modeling
Theodore M. Barnhill (Editor), William Maxwell (Editor), Mark R. Shenkman (Editor) / Hardcover / Published March 1999

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The Art of the Trade : Mastering the Analytic and Intuititve Elements of Successful Trading
R. E., Jr. McMaster / Hardcover / Published 1999 Trading Bookshelf

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Options : Essential Concepts and Trading Strategies
The Options Institute (Editor) / Hardcover / 3rd Edition Published July 1999

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Implementing Credit Derivatives : Strategies and Techniques for Using Credit Derivatives in Risk Management
by Israel Nelken / Published May 1999
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Pricing, Hedging and Trading Exotic Options : Understand the Intricacies of Exotic Options and How to Use Them to Maximum Advantage
by Israel Nelken / Published April 1999
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The E Trader's Edge : Battle-Tested Advice from Pristine.COM, the Leading Website for Electronic Day Traders
Oliver Velez, Greg Capra / Hardcover / Published May 1999 Trading Bookshelf

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Equity Flex Options: A Swiss Army Knife for the Investor & Financial Engineer
by James J. Angel, Gary L. Gastineau, Clifford J. Weber/ Published February 1999 Frank J. Fabozzi Library
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Credit Derivatives
Mark J.P. Anson / Hardcover / Published July 1999 Frank J. Fabozzi Library

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Demark on Day Trading Options : Using Options to Cash in on the Day Trading Phenomenon
Thomas R. Demark, et al / Hardcover / Published June 1999

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Computerized Trading : Maximizing Day Trading and Overnight Profits
Mark Jurik (Editor) / Hardcover / Published 1999

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Trading Systems Secrets
Joe Krutsinger / Paperback / Published 1999

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The Art of the Trade : Mastering the Analytic and Intuititve Elements of Successful Trading
R. E., Jr. McMaster / Hardcover / Published 1999 IRWIN Trader's Edge Series

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Trading Online : A Step-By-Step Guide to Cyberprofits
Alpesh B. Patel / Paperback / Published May 1999

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Digital Day Trading; Moving from One Winning Stock Position to the Next
Howard Abell / Hardcover / Published May 1999

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The Best of the Professional Traders Journal: Best Trading Patterns, Volume I
Laurence A. Connors / Published March 1999

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The Best of the Professional Traders Journal: Best Trading Patterns, Volume II
Laurence A. Connors /  Published March 1999

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The Best of the Professional Traders Journal: Day Trading
Laurence A. Connors /  Published 1999

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The Best of the Professional Traders Journal: Market Timing
Laurence A. Connors /  Published 1999

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TRADEHARD.COM Guide to Conquering the Trading Markets
Mark Etzkorn, Mark Boucher,  Jeff Cooper,  Robert Pisani,  Laurence Connors,  Kevin Haggerty,  David Landry,  Manuel Ochoa / Published April 1999

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The E Trader's Edge : Battle-Tested Advice from Pristine.COM, the Leading Website for Electronic Day Traders
Oliver Velez, Greg Capra / Hardcover / Published May 1999 IRWIN Trader's Edge Series

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Integrated Technical Analysis
Ian Copsey / Hardcover / Published 1999 Wiley Trading Advantage Series

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Study Guide for Technical Analysis of the Financial Markets : A Comprehensive Guide to Trading Methods and Applications
John J. Murphy / Paperback / Published 1999

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Playing for Keeps : Ten Trading Systems That Really Work : Synergetic technical Analysis
Thomas A. Bierovic / Hardcover / Published 1999 Wiley Trading Advantage Series

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Technical Analysis for the Trading Professional : Strategies and Techniques for Today's Turbulent Financial Markets
Constance M. Brown / Published April 1999
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International Encyclopedia of Technical Analysis
Jae K. Shim / Hardcover / Published April 1999

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An Introduction to Technical Analysis (Reuters Financial Training Series)
Reuters / Hardcover / Published March1999

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Technical Analysis of Stocks and Commodities, Vol 16
Jack K. Hutson(Editor) / Hardcover / Published 1999

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Day Trading Systems and Methods
Charles Lebeau, David Lucas / Paperback / Published April 1999

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