Ebook The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
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The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
Ebook The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
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About the Author
Espen Gaarder Haug, has more than 15 years of experience in derivatives trading and research. He has worked as a proprietary option trader at J.P. Morgan Chase in New York, and as an option trader for the hedge funds Amaranth Advisors and Paloma Partners. Dr. Haug has published extensively in journals such as Quantitative Finance, International Journal of Theoretical and Applied Finance, and Wilmott Magazine. He is also a popular lecturer on option pricing, hedging, and risk management and an Adjunct Associate Professor at Norwegian University of Science and Technology.
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Product details
Hardcover: 492 pages
Publisher: McGraw-Hill Education; 2 edition (January 8, 2007)
Language: English
ISBN-10: 0071389970
ISBN-13: 978-0071389976
Product Dimensions:
7.7 x 1.6 x 9.5 inches
Shipping Weight: 2.7 pounds (View shipping rates and policies)
Average Customer Review:
4.1 out of 5 stars
36 customer reviews
Amazon Best Sellers Rank:
#338,032 in Books (See Top 100 in Books)
I have been implementing various options calculators in many programming languages on several operating systems for over 25 years. Since the first edition of Haug's book, it has proven to be invaluable. It saved me many hours of research. Does it contain typos? Sure it does. However, I have compared some of the formulas to those in the first edition, and most of them have been corrected. Is the published code to the algorithms the most efficient one? Not by a long shot. But these are minor details. If you are an experienced programmer, you will easily improve the code, and if you are implementing the formulas in VBA for Excel, the code is quite adequate. The most common complaint is that the book did not help in trading options. I would not know. Does Gray's Anatomy help a neurosurgeon? I doubt it. This book is clearly meant for the quants, risk managers, and developers, not for the traders. If one is looking for a pricing formula for any of the scores of various exotic options, this is the first place to look. Often the presented material provides everything needed. In the rare cases where it does not, copious references are provided.
Without a doubt, hands down the authority on options pricing. Includes an awesome computer CD w/ working Excel spreadsheets & VBA code for all the major options formulas discussed in the book, and they nicely correspond to each chapter. A must have if you frequently price or trade derivatives, you get great explanations AND hands-on formulas/models that actually work - and work well.
Simply put, Haug's book is a must-have for all students and practitioners in quantitative finance. The book has grown to over 500 pages in its second edition and contains a wealth of practical information related to option pricing formulae making this book a worthwhile purchase even if you already have the first edition. It is useful to anyone needing to implement, validate, or value financial derivatives in today's trading, market or credit risk management environment. My guess is that it will help you with a good 80% of the quantitative finance models you needs to implement or validate. It is written in a reference manual style which means the text is sparse and to the point. At the back it contains an excellent bibliography cross-referenced throughout the book just in case you need to consult a relevant academic paper with a higher verbosity level. In fact, for students the bibliography alone is well worth buying this book. The included CDROM contains VBA implementations of most of the formulas referenced in the book which is useful to fast-track your understanding of the practical implementation of the mathematics.As anything in life the book is not perfect. The title of the book suggesting it is the Complete Guide, by Haug's own admission is a bit ambitious. The major asset classes covered is still equities with a bit of commodity, energy and interest rates derivatives. Surprisingly, no credit derivatives are covered. The inclusion of VBA-code printouts in the text seems a bit superfluous as the code is available on the CDROM. This results in the book being a bit thicker than it should be, so maybe a next edition will be more kind to the environment! A solid 5-star effort.
In this book the author, Haug, shares with us his lifetime collection of option formulae.The book can be used as a reference book or read from cover to cover. I read the book from cover to cover. The commentary is excellent. I have to confess that I didn't understand all the information in the book because I'm only a novice and I think some parts of the book were really intended for " financial engineers ". Even though I was a little bit out of my depth I was still able to understand the authors perspective and sequence of thought.Anyway on page 497 the author states:"This book contains a large collection of option pricing formulas. To ease the use of the formulas, the book includes a CD with ready to use Excel spreadsheets." and "To start pricing options, only a minimum knowledge of using a spreadsheet is required. All that is required is typing in the input variables for the relevant formula. The computer will do the rest."
Classic of the genre for the "Collector". All you need to know about option pricing in one book. Very much to the point, no extra fluff, read and use in everyday work. Check the list of known errors at www (dot) espenhaug (dot) com (slash) Corrections2ndEdtion (dot) pdf. This book was my desktop reference when I worked a quant.Highly and unequivocally recommended.
This could be the best book you could find for existing closed form option pricing formulas, if you are not concerned with their derivations. I have not yet encountered the mistakes mentioned by the other reviewers. Haug does, however, include VBA code for most, if not all of the formulas; this greatly expedites the process of verifying their accuracy.The book's greatest strength is that it contains so MANY different formulas. This makes it extremely easy to look up the reference material for each solution and to find their derivations. This makes it a great research tool and an excellent summary of work that has already been done in pricing options based on the Black-Scholes framework.
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