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Author : Roger Lord
Publisher : Rozenberg Publishers
Page : 211 pages
File Size : 49,6 Mb
Release : 2008
Category : Electronic
ISBN : 9789051709094
Author : Mohamed Bouzoubaa,Adel Osseiran
Publisher : John Wiley & Sons
Page : 405 pages
File Size : 41,9 Mb
Release : 2010-03-30
Category : Business & Economics
ISBN : 9780470710081
The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
Author : Taoying Farenhorst-Yuan
Publisher : Rozenberg Publishers
Page : 198 pages
File Size : 52,9 Mb
Release : 2010
Category : Electronic
ISBN : 9789051706604
Author : Julia Di Nunno,Bernt Øksendal
Publisher : Springer Science & Business Media
Page : 532 pages
File Size : 49,8 Mb
Release : 2011-03-29
Category : Mathematics
ISBN : 9783642184123
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Author : Andrey M. Lizyayev
Publisher : Rozenberg Publishers
Page : 136 pages
File Size : 40,5 Mb
Release : 2010
Category : Electronic
ISBN : 9789036101875
Author : Riemer Pieter Faber
Publisher : Rozenberg Publishers
Page : 157 pages
File Size : 42,6 Mb
Release : 2010
Category : Electronic
ISBN : 9789036101653
Author : Peter Guangping Zhang
Publisher : World Scientific
Page : 698 pages
File Size : 49,8 Mb
Release : 1997-01-03
Category : Business & Economics
ISBN : 9789814549400
This book provides the first systematic classification and treatment to essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic options. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as flexible Asian options with flexible weights to various observations in the average, Asian barrier options, correlation digital options, etc. Most of the analyses in this book are within the Black-Scholes environment so that comparisons of each type of exotic options with the Black-Scholes model can be made readily. Emphases have been paid to illustrate the ideas of products clearly and show how to use the pricing expressions conveniently. The book contains many pricing formulae and analyses which do not exist in the literature.The book is suitable for traders, analysts, risk managers, marketers, sales people, professionals in the derivatives industry, and financial professionals in general who have an interest in the concurrent status of the exotic derivatives market. It is also of great interest to professors and graduate students who want to catch up with the ever growing innovation process in the derivatives industry. Scientists, engineers, computer programers, and other professionals may also find the book an efficient way to grasp some financial ideas and connect financial products with mathematical tools.ORThis is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginnning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.
Author : Mondher Bellalah
Publisher : World Scientific
Page : 617 pages
File Size : 41,7 Mb
Release : 2009
Category : Business & Economics
ISBN : 9789812797476
This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.
Author : Bert Tieben
Publisher : Rozenberg Publishers
Page : 592 pages
File Size : 55,7 Mb
Release : 2009
Category : Equilibrium (Economics)
ISBN : 9789036101097
Author : Anonim
Publisher : Rozenberg Publishers
Page : 190 pages
File Size : 40,5 Mb
Release : 2009
Category : Electronic
ISBN : 9789036101332
Author : Lei Pan
Publisher : Rozenberg Publishers
Page : 155 pages
File Size : 52,7 Mb
Release : 2009
Category : Electronic
ISBN : 9789036101066
Author : Adam Sanoé Booij
Publisher : Rozenberg Publishers
Page : 174 pages
File Size : 51,7 Mb
Release : 2009
Category : Electronic
ISBN : 9789036101196
Author : Desislava Todorova Rusinova
Publisher : Rozenberg Publishers
Page : 130 pages
File Size : 49,5 Mb
Release : 2010
Category : Electronic
ISBN : 9789036101851
Author : Machiel Jan Reinders
Publisher : Rozenberg Publishers
Page : 140 pages
File Size : 45,9 Mb
Release : 2010
Category : Electronic
ISBN : 9789036101769
Author : Assil Al- Ibrahim
Publisher : Rozenberg Publishers
Page : 253 pages
File Size : 46,9 Mb
Release : 2010
Category : Electronic
ISBN : 9789036101745