Advanced Option Pricing Models

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Address:	20 Stagecoach Road
	Selden, NY 11784
Phone # for sales:	631 696 3333
Fax:	631 696 3333
Website:	www.scientific-consultants.com
Click link to request additional product information.
E-mail address:	jeffkatz@scientific-consultants.com

CATEGORY: BOOKS

Description

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Book title: Advanced Option Pricing Models

Author: Jeffrey Owen Katz, Ph.D., and Donna L. McCormick

Publisher: McGraw-Hill

Price: $70 (US)

Pages: 438

Last print date: 2005

Media:

Hardback

Brief description:

"Advanced Option Pricing Models: An Empirical Approach to Valuing Options" applies the same hard-edged, research-orientated approach used in the authors' other acclaimed book, "The Encyclopedia of Trading Strategies," to the problem of evaluating the worth of options. A variety of methods are investigated, from conditional distributions and multivariate polynomial regressions (using Chebychev polynomials) to hybridized neural networks. The studies demonstrate that one can do much better than Black-Scholes when it comes to pricing options, especially under certain market conditions. If you have a mathematical bent, want the same kinds of technology that the market makers and institutional traders have access to, and if you trade stocks or stock options, than this book is for you. Lawrence G. McMillian said this book is "An intriguing, in-depth look at what really constitutes option pricing theory. Plus, some interesting thoughts on projecting and assessing volatility. A must read for those who are looking for more advanced option modeling techniques." William H. Press (Numerical Recipes series) said "Refreshingly grounded in empirical data and a spirit of numerical experimentation, this book also succeeds at explaining the arcane mathematical concepts of options pricing in straightforward, clear language. The reader will come away not just with the accepted wisdom of the field, but also with a good sense of how to test that wisdom against real data." Howard Simons (contributing editor, Futures magazine) said "Katz and McCormick's rigorous data studies and their experiences as traders lead to useful solutions for option modeling. In addition, their ability to write in clear English should be studied by all financial authors."

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