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- Product code: 3573
- ISBN: 1899332359,
ISBN13: 9781899332359,
343 pages, paperback
Published by Risk Books on 1996
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Description of Over The Rainbow |
This sequel to 'From Black-Scholes to Black Holes' offers over 50 of the best articles on options and complex swaps published over the last three years by Risk magazine. Selected by the editors, with specially written introductions to each section by Professor Robert Jarrow, this is a key book on second-generation products.
The book includes advanced discussion on the latest models - how to select between them, and how to overcome model error and speed up computations. Special sections examine calculating implied volatility, incorporating the volatility smile, how to use trees and lattices, and how to efficiently implement Monte Carlo methodologies.
And, of course, we have articles devoted to all the principal exotic options- from Asians to complex barrier options.
All the specialist articles are linked together by introductions freshly written by Professor Robert Jarrow, who highlights practical ways of reconciling modern options theory with current industry practice. His overviews provide the most up-to-date review of modern option theory currently available.
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Reviews"A valuable resource for the derivatives expert."
- Professor Stewart Hodges, Financial Options Research Centre, Warwick University
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Contents of Over The Rainbow |
1. New Frontiers In Options
- Frictionless markets
- Static hedging
- Transaction costs
- Model error
2. Everything But Vanilla
- General theory of exotic options
- Path-independent
- Path-dependent
3. Exotic Swapping
- Index amortising swaps
- Differential swaps
4. Implied Smiles
- Implied volatility
- Implied smiles
5. Quicker On The Curves
- Trees and lattices
- Monte Carlo methodologies
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