Optons — 45 Years since the Publicaton of the Black–Scholes–Merton Model

The Gershon Fintech Center Conference

David Gershon

The Hebrew University of Jerusalem, Israel

Alexander Lipton

Abu Dhabi Investment Authority, UAE & The Hebrew University of Jerusalem, Israel

Key Features

Mathieu Rosenbaum

École Polytechnique, France

Zvi Wiener

The Hebrew University of Jerusalem, Israel

• he contributors to the book are some o the most in uental researchers in fnancial engineering who shaped the feld over the recent decades

• he reader can get frst hand in ormaton about the ke milestones in fnancial engineering rom their respectve authors

• he book s content is e tensive and covers the most signifcant developments in valuaton, hedging, and trading o fnancial derivatves and corporate fnance

• he book e plains modern approaches to volatlit in detail and covers local, stochastc, local stochastc, and rough volatlit models

• he book covers in depth speciali ed derivatves markets, including commodites, rench, and Chinese markets

Descripton

This book contains contributons by the best-known and consequental researchers who, over several decades, shaped the feld of fnancial engineering. t presents a comprehensive and uni ue perspectve on the historical development and the current state o derivatves research. he book covers classical and modern approaches to opton pricing, reali ed and implied volatlites, classical and rough stochastc processes, and contngent claims anal sis in corporate fnance. he book is invaluable or students, academic researchers, and practtoners working with fnancial derivatves, market regulaton, trading, risk management, and corporate decision making.

Editors

David Gershon, Pro essor avid Gershon is the ounder o the Gershon intech Center at the Hebrew Universit o erusalem. He is a 25 ears e pert in the in ech industr . n 999 he ounded Super erivatves, which o ered real tme bid and ask opton prices that re ected the interbank broker market accuratel , based on a new model he invented or opton pricing. n less than three ears, Super erivatves generated a global transparenc in opton pricing and trans ormed the optons market dramatcall . Global trading volume tripled and the bid ask spreads shrunk. Utli ing Super erivatves online s stem, man banks and corporatons opened optons trading desks.

Alexander Lipton is Global Head, esearch evelopment, at bu habi nvestment uthorit , Co ounder and dvisor at Sila, isitng Pro essor and ean s ellow at the Hebrew Universit o erusalem, and Connecton Science ellow at . le is an advisor board member o several fntech companies worldwide. n 2006 20 6, le was Co Head o the Global uanttatve Group and uanttatve Solutons E ecutve at ank o merica. Earlier, he was a senior manager at Citadel, Credit Suisse, eutsche ank, and ankers rust, and a pro essor at the Universit o llinois

January 2023

£140 | HARDCOVER 978 98 25 586

Imprint: World Scientfc Publishing Compan

Extent: 630pp

Type: eview olume

Series: World Scientfc Lecture otes in inance

Main Subject: Economics inance

Sub-Subjects: one anking nvestments inancial arkets nsttutons Computatonal Economics inance Corporate inance athematcal Economics Game heor Econometrics athematcal uanttatve inance ccountng Corporate Governance athematcal inance Economics

Keywords: ptons Call Put Stock E uit ond ebt ividend nvestment iversifcaton olatlit lack Scholes erton odel Stochastc Swap Commodit nde Contngent Claims E otc pton

Readership: cademic researchers and practtoners working with fnancial derivatves and pro essionals involved in market regulaton, trading and research on optons, hedging and corporate decision making