Foundations and Trends® in Finance > Vol 1 > Issue 5–6

The Derivatives Sourcebook

Terence Lim, Goldman Sachs Asset Management, terence.lim@gs.com Andrew W. Lo, MIT Sloan School of Management, alo@mit.edu Robert C. Merton, Graduate School of Business Administration, Harvard University, merton@hbs.edu Myron S. Scholes, Stanford University and Oak Hill Platinum Partners, mscholes@ohpp.com
 
Suggested Citation
Terence Lim, Andrew W. Lo, Robert C. Merton and Myron S. Scholes (2006), "The Derivatives Sourcebook", Foundations and Trends® in Finance: Vol. 1: No. 5–6, pp 365-572. http://dx.doi.org/10.1561/0500000005

Published: 30 Apr 2006
© 2006 T. Lim and A.W. Lo
 
Subjects
Derivatives
 

Free Preview:

Article Help

Share

Download article
In this article:
1 Introduction
2 Applications of Option-Pricing Theory: Twenty-Five Years Later
3 Derivatives in a Dynamic Environment
4 Classification Categories
5 Citations

Abstract

The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

DOI:10.1561/0500000005
ISBN: 978-1-933019-21-5
224 pp. $180.00
Buy book
 
ISBN: 978-1-933019-70-3
224 pp. $200.00
Buy E-book
Table of contents:
1 Introduction
2 Applications of Option-Pricing Theory: Twenty-Five Years Later
3 Derivatives in a Dynamic Environment
4 Classification Categories
5 Citations

The Derivatives Sourcebook

The Derivatives Sourcebook is a complete bibliography of the derivatives literature research citing the pioneering work of Fischer Black, RobertMerton, and Myron Scholes with over 1500 research articles categorized and indexed since 1980. It includes an introduction by the authors reviewing recent developments in the field since the Nobel Prize in Economics was awarded in 1997 to Robert Merton and Myron Scholes for their research on financial derivatives and options pricing theory. The complete Nobel Lectures by Robert Merton and Myron Scholes are also included.

 
FIN-005