Options — 45 Years since the Publication of the Black–Scholes–Merton Model:The Gershon Fintech Center Conference

Edited by David Gershon, Alexander Lipton, Mathieu Rosenbaum and Zvi Wiener

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book contains contributions by the best-known and consequential researchers who, over several decades, shaped the field of financial engineering. It presents a comprehensive and unique perspective on the historical development and the current state of derivatives research. The book covers classical and modern approaches to option pricing, realized and implied volatilities, classical and rough stochastic processes, and contingent claims analysis in corporate finance. The book is invaluable for students, academic researchers, and practitioners working with financial derivatives, market regulation, trading, risk management, and corporate decision-making.

Keywords: Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option (search for similar items in EconPapers)
JEL-codes: C C02 G1 G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
ISBN: 9789811255861
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https://www.worldscientific.com/worldscibooks/10.1142/12822 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Using Option Pricing Information to Time Diversify Portfolio Returns , pp 1-15

Myron Scholes

Ch 2 How Good is Black–Scholes–Merton, Really? , pp 17-27

P. Wilmott

Ch 3 Probabilistic Interpretation of Black Implied Volatility , pp 29-46

Peter Carr, Liuren Wu and Y. Zhang

Ch 4 Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility , pp 47-61

Damiano Brigo

Ch 5 VIX and Derivatives , pp 63-72

M. Brenner

Ch 6 Multivariate Fractional Brownian Motion and Generalizations of SABR Model , pp 73-87

M. Musiela

Ch 7 Buy Rough, Sell Smooth , pp 89-125

P. Glasserman and P. He

Ch 8 Volatility is Rough , pp 127-172

J. Gatheral, T. Jaisson and M. Rosenbaum

Ch 9 Things We Think We Know , pp 173-184

L.C.G. Rogers

Ch 10 Cumulant Formulas for Implied Volatility , pp 185-193

R. Lee

Ch 11 Implied Volatility Asymptotics: Black–Scholes and Beyond , pp 195-212

P. Tankov

Ch 12 The Smile of Stochastic Volatility Models , pp 213-233

J. Guyon

Ch 13 A Neural Network Approach to Understanding Implied Volatility Movements , pp 235-256

J. Cao, J. Chen and J. Hull

Ch 14 Modeling Volatility Risk in Equity Options Market: A Statistical Approach , pp 257-292

D. Dobi and M. Avellaneda

Ch 15 A General Theory of Option Pricing , pp 293-330

D. Gershon

Ch 16 Old Problems, Classical Methods, New Solutions , pp 331-375

A. Lipton

Ch 17 25 Years of Local Volatility and Beyond , pp 377-391

B. Dupire

Ch 18 Swap Rate à la Stock: Bermudan Swaptions Made Easy , pp 393-412

D. Gatarek and J. Jabłecki

Ch 19 Thirty Years of Derivatives Market: Originality of the French Experience , pp 413-432

N. El Karoui

Ch 20 Option Prices in the Equity, Index and Commodity Markets: The “Message from Markets” , pp 433-449

E. I. Ronn

Ch 21 Options Markets in China: The New Frontier , pp 451-468

H. Li and Q. Wang

Ch 22 Risk Exposure Valuation Using Measure Distortions: An Overview , pp 469-482

D. B. Madan

Ch 23 Insider Trading , pp 483-493

P. Protter

Ch 24 Contingent Claims Analysis in Corporate Finance , pp 495-520

M. Crouhy, D. Galai and Zvi Wiener

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