Derivatives Models on Models

Table of contents

1. Cover Page
2. Title Page
3. Copyright
4. Contents
5. Author's “Disclaimer”
6. Introduction
7. Derivatives Models on Models
8. Nassim Taleb on Black Swans
9. 1: The Discovery of Fat-Tails in Price Data
10. Edward Thorp on Gambling and Trading
11. 2: Option Pricing and Hedging from Theory to Practice: Know Your Weapon III *
    1. 1 The Partly Ignored and Forgotten History
    2. 2 Discrete Dynamic Delta Hedging Under Geometric Brownian Motion
    3. 3 Dynamic Delta Hedging Under Jump-diffusion
    4. 4 Equilibrium Models
    5. 5 Portfolio Construction and Options Against Options
    6. 6 Conclusions
12. Alan Lewis on Stochastic Volatility and Jumps
13. 3: Back to Basics: A New Approach to the Discrete Dividend Problem *
    1. 1 Introduction
    2. 2 General Solution
    3. 3 Dividend Models
    4. 4 Applications
    5. Appendix A
    6. Appendix B
14. Emanuel Derman the Wall Street Quant
15. 4: Closed Form Valuation of American Barrier Options *
    1. 1 Analytical Valuation of American Barrier Options
    2. 2 Numerical Comparison
    3. 3 Conclusion
16. Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility
17. 5: Valuation of Complex Barrier Options Using Barrier Symmetry *
    1. 1 Plain Vanilla Put–Call Symmetry
    2. 2 Barrier Put–Call Symmetry
    3. 3 Simple, Intuitive and Accurate Valuation of Double Barrier Options
    4. 4 Static Hedging in the Real World
    5. 5 Conclusion
18. Granger on Cointegration
19. 6: Knock-in/Out Margrabe *
    1. 1 Margrabe Options
    2. 2 Knock-in/out Margrabe Options
    3. 3 Applications
    4. Appendix
20. Stephen Ross on APT
21. 7: Resetting Strikes, Barriers and Time *
    1. 1 Introduction
    2. 2 Reset Strike Barrier Options
    3. 3 Reset Barrier Options
    4. 4 Resetting Time
    5. 5 Conclusion
22. Bruno Dupire the Stochastic Wall Street Quant
23. 8: Asian Pyramid Power
    1. 1 Celia in Derivativesland
    2. 2 Calibrating to the Term Structure of Volatility
    3. 3 From Geometric to Arithmetic
    4. 4 The Dollars
    5. Appendix: Inside the Average Period
24. Eduardo Schwartz: The Yoga Master of Mathematical Finance
25. 9: Practical Valuation of Power Derivatives *
    1. 1 Introduction
    2. 2 Energy Swaps/Forwards
    3. 3 Power Options
    4. 4 Still, What About Fat-Tails?
26. Aaron Brown on Gambling, Poker and Trading
27. 10: A Look in the Antimatter Mirror *
    1. 1 Garbage in, Garbage Out?
    2. 2 Conclusion
28. Knut Aase on Catastrophes and Financial Economics
29. 11: Negative Volatility and the Survival of the Western Financial Markets
    1. 1 Introduction
    2. 2 Negative Volatility – A Direct Approach
    3. 3 The Value of a European Call Option for any Value – Positive or Negative – of the Volatility
    4. 4 Negative Volatility – The Haug Interpretation
    5. 5 Chaotic Behavior from Deterministic Dynamics
    6. 6 Conclusions
30. Elie Ayache on Option Trading and Modeling
31. 12: Frozen Time Arbitrage *
    1. 1 Time Measure Arbitrage
    2. 2 Time Travel Arbitrage
    3. 3 Conclusion
32. Haug on Wilmott and Wilmott on Wilmott
33. 13: Space-time Finance the Relativity Theory's Implications for Mathematical Finance *
    1. 1 Introduction
    2. 2 Time Dilation
    3. 3 Advanced Stage of Space-time Finance
    4. 4 Space-time Uncertainty
    5. 5 Is High Speed Velocity Possible?
    6. 6 Black-scholes in Special Relativity
    7. 7 Relativity and Fat-Tailed Distributions
    8. 8 General Relativity and Space-time Finance
    9. 9 Was Einstein Right?
    10. 10 Traveling Back in Time Using Wormholes
    11. 11 Conclusion
    12. Appendix A: Special Relativity and Time Dilation
    13. Appendix B: Relationship between Acceleration in Different Frames
34. Andrei Khrennikov on Negative Probabilities
35. 14: Why So Negative About Negative Probabilities? *
    1. 1 The History of Negative Probability
    2. 2 Negative Probabilities in Quantitative Finance
    3. 3 Getting the Negative Probabilities to Really Work in Your Favor
    4. 4 Hidden Variables in Finance
    5. 5 The Future of Negative Probabilities in Quantitative Finance
    6. 6 Appendix: Negative Probabilities in CRR Equivalent Trinomial Tree
36. David Bates on Crash and Jumps
37. 15: Hidden Conditions and Coin Flip Blow Up's *
    1. 1 Blowing Up
    2. 2 Coin Flip Blow Up's
38. Peter Jäckel on Monte Carlo Simulation
39. Index