An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics Series)
Peter Buchen (Author)
Review
The book presents an entertaining and captivating course in option pricing, aiming to derive closed form analytical formulas for the prices of exotic options in an elegant way, provided such a formula exists. Thanks to the machinery developed by the author and his work group, pricing formulas for even the most complex exotic options are obtained from elementary pricing formulas using elegant arguments and simple algebraic manipulations, i.e. without lengthy integrations. … a very valuable treatise on exotic option pricing in a Black-Scholes economy. In addition, every chapter concludes with a set of highly relevant and inspiring exercises.
—Tamás Mátrai, Zentralblatt MATH 1242
About the Author
Peter Buchen is an Associate Professor of Finance at the University of Sydney Business School. Dr. Buchen is co-founder of the Sydney Financial Mathematics Workshop, has authored many publications in financial mathematics, and has taught courses in quantitative finance and derivative securities. His research focuses on mathematical methods for valuing exotic options.
Hardcover: 296 pages
Publisher: Chapman and Hall/CRC; 1 edition (February 3, 2012)
Language: English
ISBN-10: 142009100X
ISBN-13: 9781420091007
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