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The Complete Guide to Option Pricing Formulas Hardcover – January 8, 2007
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From the Back Cover
The first Sourcebook to Explain Every Important Option Pricing Formula. When pricing options in today's fast-action markets, experience and intuition are not longer enough. To protect your carefully planned positions, you need precise facts and tested information that has been proven time and again. The Complete Guide to Option Pricing Formulas is the first and only authoritative reference to contain every option pricing took you need, all in one handy volume: Black-Scholes, two asset binomial trees, implied trinomial trees, Vasiceck, exotics. Many important option pricing formulas are accompanied by computer code to assis in their use, understanding, and implementation. This invaluable, one-of-a-kind reference work gives you: a complete listing of key option formulas, all delivered in an easy-to-use dictionary format; Commentary that explains key points in the most important and useful formulas; Valuable software and ready-to-use programming code that enhances your understanding of option pricing models and their practical implementations; Practitioner-oriented formulas, and highlights of the latest option pricing research from major institutions worldwide; Pricing advances on commodity options like the Miltersen and Schwartz Model, exotic options such as extreme spread options and implied trinomial trees, and much more! Professionals who use options must have immediate access to reliable and complete option pricing formulas and information. The complete Guide to Option Pricing Formulas, an invaluable guide for both experienced users and those learning how to use the tools of valuation, is the first book to place all of the research and information you need at your fingertips. ABOUT THE AUTHOR Espen Gaarder Haug is a leading expert on derivatives theory and its practical implications. He has developed systems and tools for options and interest rate derivatives for the Chase Manhattan Bank Derivatives Research and Training Group (Europe), and also worked for several years in derivatives research and trading for Chemical Bank and Den Norske Bank. Haug is a greatly appreciated lecturer on derivatives in graduate finance programs and among practitioners. Further, he has published numerous articles on options in academic journals, including the Journal of Financial Engineering. --This text refers to an out of print or unavailable edition of this title.
About the Author
Espen Gaarder Haug, has more than 15 years of experience in derivatives trading and research. He has worked as a proprietary option trader at J.P. Morgan Chase in New York, and as an option trader for the hedge funds Amaranth Advisors and Paloma Partners. Dr. Haug has published extensively in journals such as Quantitative Finance, International Journal of Theoretical and Applied Finance, and Wilmott Magazine. He is also a popular lecturer on option pricing, hedging, and risk management and an Adjunct Associate Professor at Norwegian University of Science and Technology.
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As anything in life the book is not perfect. The title of the book suggesting it is the Complete Guide, by Haug's own admission is a bit ambitious. The major asset classes covered is still equities with a bit of commodity, energy and interest rates derivatives. Surprisingly, no credit derivatives are covered. The inclusion of VBA-code printouts in the text seems a bit superfluous as the code is available on the CDROM. This results in the book being a bit thicker than it should be, so maybe a next edition will be more kind to the environment! A solid 5-star effort.
The book can be used as a reference book or read from cover to cover. I read the book from cover to cover. The commentary is excellent. I have to confess that I didn't understand all the information in the book because I'm only a novice and I think some parts of the book were really intended for " financial engineers ". Even though I was a little bit out of my depth I was still able to understand the authors perspective and sequence of thought.
Anyway on page 497 the author states:
"This book contains a large collection of option pricing formulas. To ease the use of the formulas, the book includes a CD with ready to use Excel spreadsheets." and "To start pricing options, only a minimum knowledge of using a spreadsheet is required. All that is required is typing in the input variables for the relevant formula. The computer will do the rest."
The book's greatest strength is that it contains so MANY different formulas. This makes it extremely easy to look up the reference material for each solution and to find their derivations. This makes it a great research tool and an excellent summary of work that has already been done in pricing options based on the Black-Scholes framework.
Good demonstration of the formulae, without falling into excessive theorem demonstrations
The CD has a complete set of examples applied to practical , real life problems.
Most recent customer reviews
Errors though are abundant and recurring.Read more