This paper uses risk-adjusted lognormal probabilities to derive the BlackScholes formula and explain the factors N(d1) and N(d2). It also shows how the one-period and multi-period binomial option pricing formulas can be restated so that they involve analogues of N(d1) and N(d2) which have the same interpretation as in the Black-Scholes model. Cet article utilise les probabilités lognormaux corr...

A better understanding of the empirical dynamics of Black-Scholes implied volatility surface has long been of considerable interest to both practitioners and academics. Basing on some findings about the ad hoc Black-Scholes valuation approach suggested in Dumas, Flemming and Whaley (1998), this essay studies the empirical performance of various volatility function forms that characterize the re...

We elaborate on a new technique for computing properties of nucleon-nucleon interactions in terms of an effective field theory derived from low energy NN scattering data. Details of how the expansion is carried out to higher orders are presented. Analytic formulae are given for the amplitude to subleading order in both the S0 and S1 − D1 channels.

It is known that weak coupling calculations of absorption or emission by slightly non-extremal D-brane configurations are in exact agreement with semiclassical results for the black holes they describe at strong couplings. We investigate one open string loop corrections to processes involving single D-branes and show that a class of relevant terms vanish, indicating that these processes are not...

I give in this lecture an overview of the features of the Mathematica package SARAH, and explain how it can be used together with other codes to study all aspects of a BSM model. The focus will be on the description of the analytical calculations which SARAH can perform and how this information is used to generate automatically a spectrum generator based on SPheno. I also summarize the main asp...

This commentary describes the CPI targeting regime implemented by the Swedish Riksbank during the 1930. This episode is revisited because some people believe that it would be infeasible for a central bank to target a price index successfully. A review of this episode shows that the Riksbank did not face any technical problems in achieving a stable CPI. JEL Codes: E52, E58, N14 Citation: Black, ...

This paper introduces the notion of option pricing in the context of financial markets. The discrete time, one-period binomial model is explored and generalized to the multi-period binomial model. The multi-period model is then redeveloped using the sophisticated tools of martingale theory. The paper concludes with a brief extension of the results to continuous time, giving a heuristic derivati...

It is well known [5], [1] that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividend rates and of the strike and spot price of the underlying. This paper investigates such a Call Put duality for perpetual American options. It...

The notion of 'conventional wisdom' is considered and its possible role in the determination of the direction of scientific research examined and questioned. Here the influence of 'conventional wisdom' on work in the area of exotic stars, in particular black holes, is scrutinised carefully.

In a recent article the authors obtained a formula which relates explicitly the tail of risk neutral returns with the wing behavior of the Black Scholes implied volatility smile. In situations where precise tail asymptotics are unknown but a moment generating function is available we first establish, under easy-to-check conditions, tail asymptoics on logarithmic scale as soft applications of st...