From Black-Scholes to Black Holes

Content

• Introduction
• The Black-Scholes insight: The foundations of option pricing
• Living up to the model
  • Wonderful life
  • Building on Black-Scholes
  • Guiding force
• Limitations of the models: Cracks in the foundations
• The holes in Black-Scholes
  • Exorcising the demon
  • Estimates, guesstimates and rules of thumb
• Hedging and option derivatives: The Greek approach
• Modern Greek
  • Building blocks
  • Mitigating circumstances
  • Solving the mystery
  • Semper tempus fugit
  • The art of the optimum
• Interest rate options: Hitting a moving target
• Root and branch
  • New ways with the yield curve
  • Coming to terms
  • The A - Z of caps
  • Which hedge is best?
  • behind the mirror
• Basket options: Two assets are better than one
• An idea whose time has come
  • Protective basket
  • Quanto mechanics
• Asian and lookback options: Where you get depends on the path you take
• Average intelligence
  • Flexible convolution
  • Recollection in tranquillity
• Exotic options: Anything goes, or the realm of the impossible
• up, over and out
  • The value in going out
  • Options for the undecided
  • One for another
• Bibliography
  • Glossary
  • Index