Options Markets: (6 The International Library of Critical Writings in Financial Economics series)

This collection of articles draws from work on derivatives from the last 25 years. The three volumes cover topics including: the theory, pricing and empirical evidence evidence on equity derivatives; fixed-income derivatives; exotics; real options; numerical methods; and risk management. The historical perspective offered by the book aims to offer fresh insight into derivatives.

Table of Contents:
Contents: Volume I: Acknowledgements Introduction George M. Constantinides and A.G. Malliaris PART I THE CLASSICS 1. Louis Bachelier (1964), ‘Theory of Speculation’ 2. Paul A. Samuelson (1965), ‘Rational Theory of Warrant Pricing’ and ‘Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem of Mathematical Economics’ 3. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’ 4. Robert C. Merton (1973), ‘Theory of Rational Option Pricing’ PART II PEDAGOGIGAL REVIEWS 5. Clifford W. Smith, Jr. (1976), ‘Option Pricing: A Review’ 6. A.G. Malliaris (1983), ‘Itô’s Calculus in Financial Decision Making’ 7. Robert C. Merton (1998), ‘Applications of Option-Pricing Theory: Twenty-Five Years Later’ 8. Myron S. Scholes (1998), ‘Derivatives in a Dynamic Environment’ PART III THEORETICAL FOUNDATIONS AND RISK-NEUTRAL VALUATION 9. John C. Cox and Stephen A. Ross (1976), ‘The Valuation of Options for Alternative Stochastic Processes’ 10. Stephen A. Ross (1976), ‘Options and Efficiency’ 11. George M. Constantinides (1978), ‘Market Risk Adjustment in Project Valuation’ 12. J. Michael Harrison and David M. Kreps (1979), ‘Martingales and Arbitrage in Multiperiod Securities Markets’ 13. J. Michael Harrison and Stanley R. Pliska (1981), ‘Martingales and Stochastic Integrals in the Theory of Continuous Trading’ 14. Freddy Delbaen and Walter Schachermayer (1994), ‘A General Version of the Fundamental Theorem of Asset Pricing’ PART IV THE BINOMIAL TREE APPROACH 15. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’ 16. Daniel B. Nelson and Krishna Ramaswamy (1990), ‘Simple Binomial Processes as Diffusion Approximations in Financial Models’ 17. Mark Rubinstein (1994), ‘Implied Binomial Trees’ PART V STOCHASTIC VOLATILITY MODELS 18. James B. Wiggins (1987), ‘Option Values Under Stochastic Volatility: Theory and Empirical Estimates’ 19. Steven L. Heston (1993), ‘A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options’ 20. Marc Romano and Nizar Touzi (1997), ‘Contingent Claims and Market Completeness in a Stochastic Volatility Model’ Name Index Volume II: Acknowledgements An introduction by the editors to all three volumes appears in volume I PART I OPTIONS ON FUTURES AND CURRENCIES 1. Fischer Black (1976), ‘The Pricing of Commodity Contracts’ 2. Mark B. Garman and Steven W. Kohlhagen (1983), ‘Foreign Currency Option Values’ PART II INTEREST-RATE DERIVATIVES 3. Oldrich Vasicek (1977), ‘An Equilibrium Characterization of the Term Structure’ 4. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’ 5. Darrell Duffie and Rui Kan (1996), ‘A Yield-Factor Model of Interest Rates’ 6. George M. Constantinides (1992), ‘A Theory of the Nominal Term Structure of Interest Rates’ 7. Farshid Jamshidian (1989), ‘An Exact Bond Option Formula’ 8. Thomas S.Y. Ho and Sang-Bin Lee (1986), ‘Term Structure Movements and Pricing Interest Rate Contingent Claims’ 9. Fischer Black, Emanuel Derman and William Toy (1990), ‘A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options’ 10. John Hull and Alan White (1990), ‘Pricing Interest-Rate-Derivative Securities’ 11. David Heath, Robert Jarrow and Andrew Morton (1992), ‘Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation’ 12. Kristian R. Miltersen, Klaus Sandmann and Dieter Sondermann (1997), ‘Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates’ PART III EXOTICS 13. William Margrabe (1978), ‘The Value of an Option to Exchange One Asset for Another’ 14. René M. Stulz (1982), ‘Options on the Minimum or the Maximum of Two Risky Assets: Analysis and Applications’ 15. Robert Geske (1979), ‘The Valuation of Compound Options’ 16. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), ‘Path Dependent Options: “Buy at the Low, Sell at the High”’ 17. Antoine Conze and Viswanathan (1991), ‘Path Dependent Options: The Case of Lookback Options’ 18. Hélyette Geman and Marc Yor (1996), ‘Pricing and Hedging Double-Barrier Options: A Probabilistic Approach’ PART IV REAL OPTIONS 19. Michael J. Brennan and Eduardo S. Schwartz (1985), ‘Evaluating Natural Resource Investments’ 20. James L. Paddock, Daniel R. Siegel and James L. Smith (1988), ‘Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases’ 21. Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1992), ‘Waiting to Invest: Investment and Uncertainty’ 22. George M. Constantinides (1984), ‘Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns’ 23. Joseph T. Williams (1993), ‘Equilibrium and Options on Real Assets’ 24. Steven R. Grenadier (1996), ‘The Strategic Exercise of Options: Development Cascades and Overbuilding in Real Estate Markets’ PART V EMPIRICAL EVIDENCE 25. Mark Rubinstein (1985), ‘Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978’ 26. Gurdip Bakshi, Charles Cao and Zhiwu Chen (1997), ‘Empirical Performance of Alternative Option Pricing Models’ 27. Bernard Dumas, Jeff Fleming and Robert E. Whaley (1998), ‘Implied Volatility Functions: Empirical Tests’ 28. Yacine Aït-Sahalia and Andrew W. Lo (1998), ‘Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices’ 29. Jeremy Stein (1989), ‘Overreactions in the Options Market’ Name Index Volume III: Acknowledgements An introduction by the editors to all three volumes appears in volume I PART I PRICING AMERICAN OPTIONS 1. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’ 2. Robert Geske and H.E. Johnson (1984), ‘The American Put Option Valued Analytically’ 3. Giovanni Barone-Adesi and Robert E. Whaley (1987), ‘Efficient Analytic Approximation of American Option Values’ 4. A. Bensoussan (1984), ‘On the Theory of Option Pricing’ PART II NUMERICAL METHODS 5. Michael J. Brennan and Eduardo S. Schwartz (1978), ‘Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis’ 6. Sanjiv Ranjan Das (1996), ‘Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes’ 7. Phelim P. Boyle (1977), ‘Options: A Monte Carlo Approach’ 8. Phelim Boyle, Mark Broadie and Paul Glasserman (1997), ‘Monte Carlo Methods for Security Pricing’ 9. Phelim P. Boyle (1988), ‘A Lattice Framework for Option Pricing with Two State Variables’ 10. Mark Broadie and Paul Glasserman (1997), ‘Pricing American-style Securities Using Simulation’ PART III TRADING AND HEDGING WITH TRANSACTION COSTS 11. Phelim P. Boyle and David Emanuel (1980), ‘Discretely Adjusted Option Hedges’ 12. Stephen Figlewski (1989), ‘Options Arbitrage in Imperfect Markets’ 13. Hayne E. Leland (1985), ‘Option Pricing and Replication with Transactions Costs’ 14. Bernard Bensaid, Jean-Philippe Lesne, Henri Pagès and José Scheinkman (1992), ‘Derivative Asset Pricing with Transaction Costs’ 15. Mark H.A. Davis, Vassilios G. Panas and Thaleia Zariphopoulou (1993), ‘European Option Pricing with Transaction Costs’ 16. George M. Constantinides and Thaleia Zariphopoulou (1999), ‘Bounds on Prices of Contingent Claims in an Intertemporal Economy with Proportional Transaction Costs and General Preferences’ 17. Sanford J. Grossman (1988), ‘An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies’ PART IV CREDIT RISK 18. Francis A. Longstaff and Eduardo S. Schwartz (1995), ‘A Simple Approach to Valuing Risky Fixed and Floating Rate Debt’ 19. Robert A. Jarrow and Stuart M. Turnbull (1995), ‘Pricing Derivatives on Financial Securities Subject to Credit Risk’ 20. Darrell Duffie and Kenneth J. Singleton (1997), ‘An Econometric Model of the Term Structure of Interest-Rate Swap Yields’ PART V VALUE AT RISK 21. Darrell Duffie and Jun Pan (1997), ‘An Overview of Value at Risk’ 22. Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath (1999), ‘Coherent Measures of Risk’ Name Index

About the Author :
Edited by George M. Constantinides, Leo Melamed Professor of Finance, Graduate School of Business, University of Chicago, US and A.G. Malliaris, Walter F. Mullady Sr Professor of Business Administration, Department of Economics and Department of Finance, Loyola University Chicago, US