Ebook Black-Scholes and Beyond: Option Pricing Models, by Neil A. Chriss
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Black-Scholes and Beyond: Option Pricing Models, by Neil A. Chriss
Ebook Black-Scholes and Beyond: Option Pricing Models, by Neil A. Chriss
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An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
- Sales Rank: #368955 in Books
- Brand: McGraw-Hill
- Published on: 1996-09-01
- Original language: English
- Number of items: 1
- Dimensions: 9.00" h x 1.18" w x 6.30" l, 1.83 pounds
- Binding: Hardcover
- 496 pages
- Great product!
About the Author
McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide
Most helpful customer reviews
1 of 1 people found the following review helpful.
A very friendly introduction to the black scholes model. ...
By WX
A very friendly introduction to the black scholes model. There are other books out there (Baxter and Rennie) that serve as introductions, but this one has the lowest barrier of entry.
1 of 2 people found the following review helpful.
To really understand Black-Scholes, read this book
By A. Watkins
It helps to have courses in calculus and statistics, but all you really need to understand the math in this book is a good grounding in trigonometry (exponentials, logarhythms, and binomial series). My goal was to understand N[d], a.k.a. the area under the normal distribution representing volatility. Not only is this explained well, but I learned much more about the market. Great book!
34 of 37 people found the following review helpful.
excellent intuitive exposition of complex subjects
By damask@lucent.com
Neil Chriss' book, "Black-Scholes and Beyond" is the first book that I have found that clearly presents the fundamental thinking behind the Black-Scholes formula and all of the underpinning assumptions. I have looked long and hard for a book that can present to an interested and mathematically-adept reader a clear picture of the origin of the BS-formula. Books like Hull are poorly written and confusing to the uninitiated. Chriss, however, presents a logical case for the derivation of the BS-formula which has left me with an understanding of its ingredients and limitations. To flesh-out the BS limitations, Chriss presents 6 chapters on pricing options on Binomial Trees. Chriss' exposition presents trees as an alternative and powerful tool for the valuation of European, American, and exotic options. Trees are treated as a superset of tools to Black-Scholes and moreover as field of their own. The extensive bibliography has helped me track down journal articles on various related subjects so that I can further study the material.
Chriss presents a wealth of intuitive explanations to pricing options - explanations that help the reader gain a greater understanding of the limitations and problems that the current methods face. Often it is hard to find a text that presents in detail the shortcomings of a method or technique, but as any researcher would know, understanding the current limitations is fundamental to advancing the state-of-the-art. In this respect, Chriss goes way beyond any textbook available today.
The reader will find detailed explanations on how to use the BS formula and how to build binomial trees. Additionally, there is extensive material on how to build implied binomial trees and implied volatility trees. I have taken the time to write code to reproduce the material in the chapters and thus far I have had little difficulty, although the last couple of chapters could use a bit of augmentation. Nonetheless, I've read this book twice.
Chriss has done an outstanding job at presenting the material. I look forward to future revisions of this current book and to additional books that I hope he will write. Chriss has created a new standard in financial texts that I hope others adhere to.
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