The Value of Uncertainty: Dealing with Risk in the Equity Derivatives Market - Hardcover

In his timely book, George Kaye, a Cambridge-trained physicist with over a dozen years of experience as a quantitative analyst at leading investment banks in the City of London, covers a wide variety of topics in the context of equity option pricing and risk management. He presents a broad and thorough survey of the relevant mathematical methods -- Alexander Lipton "Bank of America Merrill Lynch and Imperial College London"

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.