Option Valuation Under Stochastic Volatility: With Mathematica Code - Softcover

Lewis, Alan L.

Softcover

ISBN 10: 0967637201 ISBN 13: 9780967637204

Publisher: Finance Pr, 2000

Synopsis

Provides an advanced treatment of option pricing for traders, money managers, and researchers, covering the new generation of option models where both the stock price and its volatility follow diffusion processes. Shows how these new models help explain important features of real-world option pricing that are not captured by the Black-Scholes model, discussing features such as the "smile" pattern and the term structure of implied volatility. Coverage includes the fundamental transform, the volatility of volatility series expansion, and the term structure of implied volatility. Includes Mathematica code for key formulas and many illustrations. Lewis has been active in option valuation and related financial research for some 20 years. Annotation c. Book News, Inc., Portland, OR (booknews.com)

About this title

About the Author

Alan Lewis has been active in option valuation and financial research for over 20 years. He served as the Director of Research, Chief Investment Officer, and President of the mutual fund family for a money manager specializing in derivative securities. He has published articles in many of the leading financial journals including: The Journal of Business, The Journal of Finance, The Financial Analysts Journal, and Mathematical Finance. He received a Ph.D. in physics from the University of California at Berkeley and a B.S. from Caltech.

Review

"...an impressive collection of methods and results. I found Chapter 7 on equilibrium models particularly helpful." -- Prof. Stephen Taylor, Accounting and Finance, Lancaster University

"...students of the fine art of option pricing are advised to pounce." -- Peter Carr, Head of Quantitative Research, Bloomberg

"I especially liked the treatment of the term structure of implied volatility in Chapter 6 ... a very nice contribution." -- Prof. Nizar Touzi, Dept. Mathematics, University of Paris I

Edition details

• Publisher: Finance Pr
• Publication date: 2000
• ISBN 10: 0967637201
• ISBN 13: 9780967637204
• Binding: Paperback
• Language: English
• Number of pages: 350