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- Product code: 15800
- ISBN: 0471492892,
ISBN13: 9780471492894,
388 pages, hardback
Published by John Wiley & Sons Inc on 2003
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Description of Option Theory |
A unified development of the subject, presenting the theory of options in each of the different forms and stressing the equivalence between each of the methodologies. Demystifies some of the more complex topics. Derives practical, tangible results using the theory, to help practitioners in problem solving. Applies the results obtained to the analysis and pricing of options in the equity, currency, commodity and interest rate markets. Gives the reader the analytical tools and technical jargon to understand the current technical literature available. Provides a user-friendly reference on option theory for practicing investors and traders.
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Contents of Option Theory |
Preface
PART 1: Elements of Option Theory
Fundamentals
Option Basics
Stock Price Distribution
Principles of Option Pricing
The Black Scholes Method
American Options
PART 2: Numerical Methods
The Binomial Model
Numerical Solutions of the Black Scholes Equation
Variable Volatility
Monte Carlo
PART 3: Applications: Exotic Options
Simple Exotics
Two Asset Options
Currency Translated Optons
Options on One Asset at Two Points in Time
Barriers: Simple European Options
Barriers: Advanced Options
Asian Options
Passport Options
PART 4: 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
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About Peter James |
Peter James was educated at Magdalen College, Oxford and at University College, London. His first degrees are in Theoretical Physics and in Econometrics and Statistics, and he has a PhD in Relativistic Quantum Mechanics. He was formerly head of International Investment Banking at NationsBank (now Bank of America). He has many years experience in the derivatives markets at Merrill Lynch, DKB Financial Products and Credit Agricole Lazard Financial Products, where he is currently Head of Risk Management.
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