Derivatives Models on Models.
Nassim Taleb on Black Swans.
Chapter 1 The Discovery of Fat-Tails in Price Data.
Edward Thorp on Gambling and Trading.
Chapter 2 Option Pricing and Hedging from Theory to Practice: Know Your Weapon III.
1 The Partly Ignored and Forgotten History.
2 Discrete Dynamic Delta Hedging under Geometric Brownian Motion.
3 Dynamic Delta Hedging Under Jump-Diffusion.
4 Equilibrium Models.
5 Portfolio Construction and Options Against Options.
Alan Lewis on Stochastic Volatility and Jumps.
Chapter 3 Back to Basics: A New Approach to the Discrete Dividend Problem Together with Jørgen Haug and Alan Lewis.
2 General Solution.
3 Dividend Models.
Emanuel Derman the Wall Street Quant.
Chapter 4 Closed Form Valuation of American Barrier Options.
1 Analytical Valuation of American Barrier Options.
2 Numerical Comparison.
Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility.
Chapter 5 Valuation of Complex Barrier Options Using Barrier Symmetry.
1 Plain Vanilla Put–Call Symmetry.
2 Barrier Put–Call Symmetry.
3 Simple, Intuitive and Accurate Valuation of Double Barrier Options.
4 Static Hedging in the Real World.
Granger on Cointegration.
Chapter 6 Knock-in/out Margrabe with Jørgen Haug.
1 Margrabe Options.
2 Knock-in/out Margrabe Options.
Stephen Ross on APT.
Chapter 7 Resetting Strikes, Barriers and Time with Jørgen Haug.
2 Reset Strike Barrier Options.
3 Reset Barrier Options.
4 Resetting Time.
Bruno Dupire the Stochastic Wall Street Quant.
Chapter 8 Asian Pyramid Power with Jørgen Haug and William Margrabe.
1 Celia in Derivativesland.
2 Calibrating to the Term Structure of Volatility.
3 From Geometric to Arithmetic.
4 The Dollars.
Eduardo Schwartz: the Yoga Master of Mathematical Finance.
Chapter 9 Practical Valuation of Power Derivatives.
2 Energy Swaps/Forwards.
3 Power Options.
4 Still, What About Fat-Tails?
Aaron Brown on Gambling, Poker and Trading.
Chapter 10 A Look in the Antimatter Mirror.
1 Garbage in, Garbage Out?
Knut Aase on Catastrophes and Financial Economics.
Chapter 11 Negative Volatility and the Survival of the Western Financial Markets Knut K. Aase.
2 Negative Volatility – A Direct Approach.
3 The Value of a European Call Option for any Value – Positive or Negative – of the Volatility.
4 Negative Volatility – The Haug interpretation.
5 Chaotic Behavior from Deterministic Dynamics.
Elie Ayache on Option Trading and Modeling.
Chapter 12 Frozen Time Arbitrage.
1 Time Measure Arbitrage.
2 Time Travel Arbitrage.
Haug on Wilmott and Wilmott on Wilmott.
Chapter 13 Space-time Finance The Relativity Theory’s Implications for Mathematical Finance.
2 Time dilation.
3 Advanced stage of Space-time Finance.
4 Space-time Uncertainty.
5 Is High Speed Velocity Possible?
6 Black-Scholes in Special Relativity.
7 Relativity and Fat-Tailed Distributions.
8 General Relativity and Space-time Finance.
9 Was Einstein Right?
10 Traveling Back in Time Using Wormholes.
Andrei Khrennikov on Negative Probabilities.
Chapter 14 Why so Negative about Negative Probabilities?
1 The History of Negative Probability.
2 Negative Probabilities in Quantitative Finance.
3 Getting the Negative Probabilities to Really Work in Your Favor.
4 Hidden Variables in Finance.
5 The Future of Negative Probabilities in Quantitative Finance.
6 Appendix: Negative Probabilities in CRR Equivalent Trinomial Tree.
David Bates on Crash and Jumps.
Chapter 15 Hidden Conditions and Coin Flip Blow Up’s.
1 Blowing Up.
2 Coin Flip Blow Up’s.
Peter J¨ackel on Monte Carlo Simulation.