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The Black–Scholes Model

£22.99

Part of Mastering Mathematical Finance

  • Date Published: September 2012
  • availability: In stock
  • format: Paperback
  • isbn: 9780521173001

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  • The Black–Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful attention paid to the requirements for admissible trading strategies, the development of pricing formulae for many widely traded instruments and the additional complications offered by multi-stock models will appeal to a wide class of instructors. Students, practitioners and researchers alike will benefit from the book's rigorous, but unfussy, approach to technical issues. It highlights potential pitfalls, gives clear motivation for results and techniques and includes carefully chosen examples and exercises, all of which make it suitable for self-study.

    • Equips students with the tools needed to price the main options in current markets
    • Detailed proofs are presented in manageable steps so students can 'see the wood for the trees'
    • Exercises range in difficulty to challenge even the most able student. Solutions are available online
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    Product details

    • Date Published: September 2012
    • format: Paperback
    • isbn: 9780521173001
    • length: 178 pages
    • dimensions: 228 x 152 x 12 mm
    • weight: 0.3kg
    • contains: 3 b/w illus. 60 exercises
    • availability: In stock
  • Table of Contents

    Preface
    1. Introduction
    2. Strategies and risk-neutral probability
    3. Option pricing and hedging
    4. Various extensions and applications
    5. Path-dependent options
    6. General models
    Index.

  • Resources for

    The Black–Scholes Model

    Marek Capiński, Ekkehard Kopp

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  • Authors

    Marek Capiński, AGH University of Science and Technology, Krakow
    Marek Capiński has published over 50 research papers and eleven books. His diverse interests include mathematical finance, corporate finance and stochastic hydrodynamics. For over 35 years he has been teaching these topics, mainly in Poland and in the UK, where he has held visiting fellowships. He is currently Professor of Applied Mathematics at AGH University of Science and Technology in Kraków, Poland, where he established a Master's programme in mathematical finance.

    Ekkehard Kopp, University of Hull
    Ekkehard Kopp is Emeritus Professor of Mathematics at the University of Hull, UK, where he taught courses at all levels in analysis, measure and probability, stochastic processes and mathematical finance between 1970 and 2007. His editorial experience includes service as founding member of the Springer Finance series (1998–2008) and the CUP AIMS Library Series. He has taught in the UK, Canada and South Africa and he has authored more than 50 research publications and five books.

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