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

Review

"At last. A comprehensive, lucid exposition of derivative pricing. In addition to reviewing historical developments, Lewis provides valuable new contributions to the theory of option pricing. This is the definitive and indispensable book on derivative pricing theory." -- Sheen T. Kassouf, Emeritus Professor of Economics, University of California at Irvine

"I found this book extremely interesting, and valuable for both academics and practitioners. It treats many important aspects of the stochastic volatility problem with novel methods. I especially liked the treatment of the term structure of implied volatility in Chapter 6. This book is a very nice contribution to the literature." -- Prof. Nizar Touzi, Department of Mathematics, University of Paris I, Leading expert on stochastic volatility models

"This book is an impressive collection of methods and results. I found Chapter 7 on equilibrium models particularly helpful, as very often people 'fudge' the discussion of the volatility risk premium by making simple assumptions." -- Prof. Stephen Taylor, Accounting and Finance, Lancaster University

"This exciting book is the first one to focus on the pervasive role of stochastic volatility in option pricing. Since options exist primarily as the fundamental mechanism for trading volatility, students of the fine art of option pricing are advised to pounce." -- Peter Carr, Ph.D., Principal, Banc of America Securities

About the Author

Alan Lewis has been active in option valuation and related financial research for over twenty years. He served as Director of Research, Chief Investment Officer, and President of the mutual fund family at Analytic Investment Management, a money management firm 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. in physics from Caltech. Currently, he lives in Newport Beach, California and serves as board Chairman for Envision Financial Systems, Inc., a financial software firm.

Edition details

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