Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.

The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.

The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration

Nassim Taleb on Black Swans

Stephen Ross on Arbitrage Pricing Theory

Emanuel Derman the Wall Street Quant

Edward Thorp on Gambling and Trading

Peter Carr the Wall Street Wizard of Option Symmetry and Volatility

Aaron Brown on Gambling, Poker and Trading

David Bates on Crash and Jumps

Andrei Khrennikov on Negative Probabilities

Elie Ayache on Option Trading and Modeling

Peter Jaeckel on Monte Carlo Simulation

Alan Lewis on Stochastic Volatility and Jumps

Paul Wilmott on Paul Wilmott

Knut Aase on Catastrophes and Financial Economics

Eduardo Schwartz the Yoga Master of Quantitative Finance

Bruno Dupire on Local and Stochastic Volatility Models