Product Description

Instant access to formulas used daily by the best talent on Wall Street

Since its publication in 1997, The Complete Guide to Option Pricing Formulas has become the bible of option formulas for everyone from professional traders to money managers and investors. When pricing options in today’s fast-action markets, experience and intuition are not enough—financial professionals need precise facts and tested information that has been proven time and again. This authoritative reference contains a complete listing of virtually every option pricing formula, all presented in an easy-to-use dictionary format; author commentary that explains key points in the most important formulas; and readyto- use programming code that enhances your understanding of option pricing models and their practical implementation.

Product Details

• Amazon Sales Rank: #124667 in Books
• Published on: 2007-01-01
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 492 pages

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.

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.

Customer Reviews

A cookbook for the quantitative options trader
Have you ever wished someone took all the significant option formulas of the last 25 years and packed them into one volume? Is your calculus rusty? How about putting the formulas into Visual Basic so they can be employed directly in Microsoft Excel spreadsheets or Access databases. This is the main appeal of Option Pricing Formulas, which fills a void in current option literature. As option players became more computer literate an anthology of coded option theory was clearly needed.

The book covers everything from the tried and true Black Scholes and Cox/ Rubenstein formulas to the more exotic worlds of barrier and currency translated options. Software is included with the Visual Basic code as well as preprogrammed Excel files. Think of it as a cookbook for the technically oriented option trader.

Your one stop source for option pricing!
This book has most of the option pricing formulas you'll ever need. The VB code would cost you 1000's of $ if you should buy it from a financial software vendor or consulting firm. A must-have for quants everywhere.

Eventually a book with all key option formulas
Looking for a book with all key option formulas? Familiar with Exel Visual Basic? That's the book for you! Including the Implied Trinomial Tree.