skip to content
An introduction to exotic option pricing Preview this item
ClosePreview this item
Checking...

An introduction to exotic option pricing

Author: Peter Buchen
Publisher: Boca Raton, FL : CRC Press, ©2012.
Series: Chapman & Hall/CRC financial mathematics series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community.
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Peter Buchen
ISBN: 9781420091007 142009100X
OCLC Number: 229022663
Description: xvii, 278 pages : illustrations ; 25 cm.
Contents: Financial preliminaries --
Mathematical preliminaries --
Gaussian random variables --
Simple exotic options --
Dual expiry options --
Two-asset rainbow options --
Barrier options --
Lookback options --
Asian options --
Exotic multi-options.
Series Title: Chapman & Hall/CRC financial mathematics series.
Responsibility: Peter Buchen.

Abstract:

Emphasizing analytical techniques rather than risk management issues, this book presents an applied mathematics approach to pricing a wide range of standard and exotic options within the  Read more...

Reviews

Editorial reviews

Publisher Synopsis

"... an excellent guide to modern financial modelling. ... The author promises that you can 'price exotic options without needing a single integration' and keeps the promise. ... The author's Read more...

 
User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/229022663> # An introduction to exotic option pricing
    a schema:Book, schema:CreativeWork ;
   library:oclcnum "229022663" ;
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/flu> ;
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/1124651869#Place/boca_raton_fl> ; # Boca Raton, FL
   schema:about <http://experiment.worldcat.org/entity/work/data/1124651869#Topic/finanzmathematik> ; # Finanzmathematik
   schema:about <http://experiment.worldcat.org/entity/work/data/1124651869#Topic/options_finance_prices> ; # Options (Finance)--Prices
   schema:about <http://dewey.info/class/332.6453/e23/> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/1124651869#Topic/optionsgeschaft> ; # Optionsgeschäft
   schema:about <http://id.worldcat.org/fast/1046900> ; # Options (Finance)--Prices
   schema:about <http://experiment.worldcat.org/entity/work/data/1124651869#Topic/mathematics_probability_&_statistics_general> ; # MATHEMATICS--Probability & Statistics--General
   schema:about <http://experiment.worldcat.org/entity/work/data/1124651869#Topic/business_&_economics_finance> ; # BUSINESS & ECONOMICS--Finance
   schema:about <http://experiment.worldcat.org/entity/work/data/1124651869#Topic/mathematics_general> ; # MATHEMATICS--General
   schema:bookFormat bgn:PrintBook ;
   schema:copyrightYear "2012" ;
   schema:creator <http://viaf.org/viaf/196266075> ; # Peter Buchen
   schema:datePublished "2012" ;
   schema:description ""Preface This book is a collection of a large amount of material developed from my teaching, research, and supervision of student projects and PhD theses. It also contains a significant quantity of original unpublished work. One of my main interests in Financial Mathematics was to seek elegant methods for pricing derivative securities. Although the literature on derivatives is vast, virtually none outside the academic journals, concentrates solely on pricing methods. Where it is considered, details are often glossed over, with comments like: "ʺ ʺ ʺ and after a length integration, we arrive at the result", or "ʺ ʺ ʺ this partial differential equation can be solved to yield the answer". In my experience, many students, even the mathematically gifted ones, found the subject of pricing any but the simplest derivatives, somewhat unsatisfactory and often quite daunting. One aim of this book is to correct the impression that exotic option pricing is a subject only for the technophiles. My plan is to present it in a mathematically elegant and easily understood fashion. To this end: I show in this book how to price, in a Black-Scholes economy, the standard exotic options, and a host of non-standard ones as well, without generally performing a single integration, or formally solving a partial differential equation. How is this to be achieved? In a nutshell, the book devotes a lot of space to developing specialized methods based on no-arbitrage concepts, the Black- Scholes model and the Fundamental Theorem of Asset Pricing. These include the Principal of Static Replication, the Gaussian Shift Theorem and the Method of Images. The last of these, which has been borrowed from Theoretical Physics, is ideally suited to pricing barrier and lookback options"--Provided by publisher."@en ;
   schema:description ""In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community. The first part of the text presents the necessary financial, mathematical, and statistical background, covering both standard and specialized topics. Using no-arbitrage concepts, the Black-Scholes model, and the fundamental theorem of asset pricing, the author develops such specialized methods as the principle of static replication, the Gaussian shift theorem, and the method of images. A key feature is the application of the Gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration. The second part focuses on applications to exotic option pricing, including dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options. Pushing Black-Scholes option pricing to its limits, the author introduces a powerful formula for pricing a class of multi-asset, multiperiod derivatives. He gives full details of the calculations involved in pricing all of the exotic options. Taking an applied mathematics approach, this book illustrates how to use straightforward techniques to price a wide range of exotic options within the Black-Scholes framework. These methods can even be used as control variates in a Monte Carlo simulation of a stochastic volatility model"--Provided by publisher."@en ;
   schema:description "Financial preliminaries -- Mathematical preliminaries -- Gaussian random variables -- Simple exotic options -- Dual expiry options -- Two-asset rainbow options -- Barrier options -- Lookback options -- Asian options -- Exotic multi-options."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/1124651869> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1124651869#Series/chapman_&_hall_crc_financial_mathematics_series> ; # Chapman & Hall/CRC financial mathematics series.
   schema:name "An introduction to exotic option pricing"@en ;
   schema:productID "229022663" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/229022663#PublicationEvent/boca_raton_fl_crc_press_2012> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/1124651869#Agent/crc_press> ; # CRC Press
   schema:url <http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020348665&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA> ;
   schema:workExample <http://worldcat.org/isbn/9781420091007> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/229022663> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/1124651869#Series/chapman_&_hall_crc_financial_mathematics_series> # Chapman & Hall/CRC financial mathematics series.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/229022663> ; # An introduction to exotic option pricing
   schema:name "Chapman & Hall/CRC financial mathematics series." ;
   schema:name "Chapman & Hall/CRC financial mathematics series" ;
    .

<http://experiment.worldcat.org/entity/work/data/1124651869#Topic/business_&_economics_finance> # BUSINESS & ECONOMICS--Finance
    a schema:Intangible ;
   schema:name "BUSINESS & ECONOMICS--Finance"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/1124651869#Topic/mathematics_general> # MATHEMATICS--General
    a schema:Intangible ;
   schema:name "MATHEMATICS--General"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/1124651869#Topic/mathematics_probability_&_statistics_general> # MATHEMATICS--Probability & Statistics--General
    a schema:Intangible ;
   schema:name "MATHEMATICS--Probability & Statistics--General"@en ;
    .

<http://id.worldcat.org/fast/1046900> # Options (Finance)--Prices
    a schema:Intangible ;
   schema:name "Options (Finance)--Prices"@en ;
    .

<http://viaf.org/viaf/196266075> # Peter Buchen
    a schema:Person ;
   schema:familyName "Buchen" ;
   schema:givenName "Peter" ;
   schema:name "Peter Buchen" ;
    .

<http://worldcat.org/isbn/9781420091007>
    a schema:ProductModel ;
   schema:isbn "142009100X" ;
   schema:isbn "9781420091007" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.