James Option Theory

1. Auflage 2003
ISBN: 978-0-470-85795-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 388 Seiten, E-Book

Reihe: Wiley Finance Series

A unified development of the subject, presenting the theory ofoptions in each of the different forms and stressing theequivalence between each of the methodologies.
* Demystifies some of the more complex topics.
* Derives practical, tangible results using the theory, to helppractitioners in problem solving.
* Applies the results obtained to the analysis and pricing ofoptions in the equity, currency, commodity and interest ratemarkets.
* Gives the reader the analytical tools and technical jargon tounderstand the current technical literature available.
* Provides a user-friendly reference on option theory forpracticing investors and traders.

Autoren/Hrsg.

James, Peter

Inhaltsverzeichnis

Preface.
PART I: ELEMENTS OF OPTION THEORY.
Fundamentals.
Option Basics.
Stock Price Distribution.
Principles of Option Pricing.
The Black Scholes Model.
American Options.
PART II: NUMERICAL METHODS.
The Binomial Model.
Numerical Solutions of the Black Scholes Equation.
Variable Volatility.
Monte Carlo.
PART III: APPLICATIONS: EXOTIC OPTIONS.
Simple Exotics.
Two Asset Options.
Currency Translated Options.
Options on One Asset at Two Points in Time.
Barriers: Simple European Options.
Barriers: Advanced Options.
Asian Options.
Passport Options.
PART IV: STOCHASTIC THEORY.
Arbitrage.
Discrete Time Models.
Brownian Motion.
Transition to Continuous Time.
Stochastic Calculus.
Equivalent Measures.
Axiomatic Option Theory.
Mathematical Appendix.
Bibliography and References.
Index.

Über Autor(innen)

Peter James was educated at Magdalen College, Oxford and atUniversity College, London. His first degrees are in TheoreticalPhysics and in Econometrics and Statistics, and he has a PhD inRelativistic Quantum Mechanics.
He was formerly head of International Investment Banking atNationsBank (now Bank of America).
He has many years experience in the derivatives markets at MerrillLynch, DKB Financial Products and Credit Agricole Lazard FinancialProducts, where he is currently Head of Risk Management.