- Hardcover: 480 pages
- Publisher: McGraw-Hill Professional (1 Sep 1996)
- Language English
- ISBN-10: 0786310251
- ISBN-13: 978-0786310258
- Product Dimensions: 22.6 x 15.5 x 3.6 cm
- Average Customer Review: 4.4 out of 5 stars See all reviews (5 customer reviews)
- Amazon Bestsellers Rank: 742,346 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Product Description
This is 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 Black-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" are: detailed discussions of pricing and hedging options; volatility smiles and how to price options "in the presence of the smile"; and complete explanation on pricing barrier options.
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First Sentence
This book is about the methods and concepts of option valuation. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
This book is about the methods and concepts of option valuation. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
5 of 5 people found the following review helpful:
5.0 out of 5 stars
excellent intuitive exposition of complex subjects,
By A Customer
This review is from: Black Scholes and Beyond: Option Pricing Models (Hardcover)
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.
1 of 1 people found the following review helpful:
5.0 out of 5 stars
A clear understanding of the BS concepts,
By A Customer
This review is from: Black Scholes and Beyond: Option Pricing Models (Hardcover)
Possibly coming from a background of using Hull to understand the BS model, I find reading this book to be a very enlightening experience. The book may not go into rigourous detail of the underling mathematical formula but as a means to understanding the thinking of random processes I find the book excellent. Ideas are laid out in a very clear and straightforward manner and where mathematical concepts are presented they are presented in a manner that can be understood by anybody and not just the mathematician or engineer. I would say this is an excellent book for anyone that wants to understand the thinking behind the mathematics.
5.0 out of 5 stars
Clear lucid very readable book!,
By A Customer
This review is from: Black Scholes and Beyond: Option Pricing Models (Hardcover)
An outstanding book! It explains the mathematics underlying derivatives extremely well. The author's style is very clear and it is a pleasure to read.I highly recommend this book!
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