Options: Recent Advances in Theory and Practice: v. 1 - Hardcover

Hardcover

ISBN 10: 0719030099 ISBN 13: 9780719030093

Publisher: Manchester University Press, 1990

Synopsis

This volume contains a collection of papers presented at the University of Warwick at the conference held to mark the establishment there of a Financial Options Research Centre. The markets in financial options and the techniques necessary to use these instruments effectively, are growing fast. This collection of papers aims to cover the latest developments in this area and covers a wide range of topics which survey these advances from both practical and theoretical standpoints. The papers have been grouped into three sections. The first section provides an introduction to the nature of development of options markets and analysis both generally, and with specific reference to European markets. The second section contains papers which are technical in nature but which deal with general issues which are not specific to a particular type of option or activity, such as volatility estimation, numerical methods and the case for logic-based rather than model-based analysis. The third section contains papers which relate to specific parts of the options market, including portfolio insurance and index arbitrage, the state-of-the-art in modelling foreign exchange options and the results of applying recent techniques for valuing bond options.

Edition details

• Publisher: Manchester University Press
• Publication date: 1990
• Language: English
• ISBN 10: 0719030099
• ISBN 13: 9780719030093
• Binding: Hardcover
• Number of pages: 208
• Editor: Hodges Stewart