Option Theory Option Theory takes the reader from first principles
to the frontiers of modern finance theory. The book is aimed at busy
financial engineers at all levels, providing formulas and techniques
that can be readily applied to real life problems; yet the theoretical
basis of the subject is explored in detail so that the book will also
appeal to students and researchers.
Written in a clear and accessible
manner, the author covers the various approaches to option pricing:
risk neutral expectations by integration, trees, analytical and
numerical solutions of partial differential equations and Monte Carlo
methods, demonstrating the close relationship between them.
This is a no-nonsense professional
book which demystifies and simplifies the subject, and which will
appeal to both practitioners and students.