Peter James – Options Theory


Peter James - Options Theory


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Peter James – Options Theory

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A unified development of the subject, presenting the theory of options in each of the different forms and stressing the equivalence between each of the methodologies:

  • Demystifies some of the more complex topics.
  • Derives practical, tangible results using the theory, to help practitioners in problem solving.
  • Applies the results obtained to the analysis and pricing of options in the equity, currency, commodity and interest rate markets.
  • Gives the reader the analytical tools and technical jargon to understand the current technical literature available.
  • Provides a user-friendly reference on option theory for practicing investors and traders. From the Back Cover

Option Theory takes the reader from first principles to the frontiers of modern finance theory. Yet the theoretical basis of the subject is explored in detail so that the book will also appeal to students and researchers.

Written in a clear and accessible manner, the author covers the various approaches to option pricing:

risk neutral expectations by integration, trees, analytical and numerical solutions of partial differential equations and Monte Carlo methods, demonstrating the close relationship between them.

Part Four provides a course in stochastic calculus that is specifically tailored to finance theory and designed for readers with some previous knowledge of options. It provides an active working knowledge of the subject and includes coverage of:

  • Martingales.
  • Stochastic differential equations.
  • Stochastic integration.
  • The Feyman Kac theorem.
  • Stochastic control.
  • Local time.
  • Girsanov’s theorem.

This is a no-nonsense professional book which demystifies and simplifies the subject.

About the Author

He was formerly head of International Investment Banking at NationsBank (now Bank of America).

He has many years experience in the derivatives markets at Merrill Lynch, DKB Financial Products and Credit Agricole Lazard Financial Products, where he is currently Head of Risk Management.

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