Equity Derivatives And Hybrids

Author : Oliver Brockhaus
Publisher : Springer
Page : 287 pages
File Size : 45,8 Mb
Release : 2016-04-29
Category : Business & Economics
ISBN : 9781137349491

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Equity Derivatives and Hybrids by Oliver Brockhaus Pdf

Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers.

Author : Mohamed Bouzoubaa,Adel Osseiran
Publisher : John Wiley & Sons
Page : 405 pages
File Size : 49,5 Mb
Release : 2010-03-30
Category : Business & Economics
ISBN : 9780470710081

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Exotic Options and Hybrids by Mohamed Bouzoubaa,Adel Osseiran Pdf

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 : Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 47,5 Mb
Release : 2007-02-02
Category : Business & Economics
ISBN : 9780471770589

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Equity Hybrid Derivatives by Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar Pdf

Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.

Author : M. Bouzoubaa
Publisher : Springer
Page : 204 pages
File Size : 50,6 Mb
Release : 2014-05-09
Category : Business & Economics
ISBN : 9781137335548

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Equity Derivatives Explained by M. Bouzoubaa Pdf

A succinct book that provides readers with all they need to know about the equity derivatives business. It deals with vanilla equity products, their usage, structuring and their risk management. The author efficiently bridges the gap between theory and practice, constantly linking risk management tools with specific business objectives.

Author : Jack Clark Francis,William W. Toy,J. Gregg Whittaker
Publisher : John Wiley & Sons
Page : 742 pages
File Size : 55,7 Mb
Release : 1999-11-08
Category : Business & Economics
ISBN : 0471326038

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The Handbook of Equity Derivatives by Jack Clark Francis,William W. Toy,J. Gregg Whittaker Pdf

Aktienderivate gehören zu den populärsten Derivatprodukten, die von institutionellen Anlegern gehandelt werden. Ein Aktienderivat ist ein Future oder eine Option auf Aktien oder Aktienindices. Zu den traditionellen Aktienderivaten gehören Optionsscheine, Optionen, Futures und Aktienindexfutures. Das "Handbook of Equity" ist eine vollständige und umfassende Überarbeitung des ersten und einzigen Buches zu diesem Thema. Herausgegeben von führenden Köpfen der Branche - darunter Nobelpreisträger Fischer Black, John Braddock und Mark Rubenstein - enthält es wichtige neue Informationen zu Aktienindexfutures und -optionen und erweitert die mathematische Diskussion um das Black & Scholes-Modell. (11/99)

Author : Anonim
Publisher : Unknown
Page : 14 pages
File Size : 47,5 Mb
Release : 2006
Category : Electronic
ISBN : OCLC:255580829

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Equity Derivatives by Anonim Pdf

Author : Juan Ramirez
Publisher : John Wiley & Sons
Page : 452 pages
File Size : 48,9 Mb
Release : 2011-09-07
Category : Business & Economics
ISBN : 9781119950776

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Handbook of Corporate Equity Derivatives and Equity Capital Markets by Juan Ramirez Pdf

Equity strategies are closely guarded secrets and as such, there is very little written about how investors and corporate can utilise equity vehicles as part of their growth strategies. In this much-needed book, industry expert Juan Ramiraz guides readers through the whole range of equity derivative instruments, showing how they can be applied to a range of equity capital market situations, including hedging, yield enhancement and disposal of strategic stakes, mergers and acquisitions, stock options plan hedging, equity financings, share buybacks and other transactions on treasury shares, bank regulatory capital arbitrage and tax driven situations. The book includes case studies to highlight how equity derivative strategies have been used in real-life situations.

Author : Jan De Spiegeleer,Wim Schoutens,Cynthia Van Hulle
Publisher : John Wiley & Sons
Page : 421 pages
File Size : 54,9 Mb
Release : 2014-05-19
Category : Business & Economics
ISBN : 9781118449998

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The Handbook of Hybrid Securities by Jan De Spiegeleer,Wim Schoutens,Cynthia Van Hulle Pdf

Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators

Author : R. Mahajan
Publisher : Unknown
Page : 0 pages
File Size : 40,9 Mb
Release : 2002
Category : Capital market
ISBN : 8170944163

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Futures And Options: Introduction To Equity Derivatives by R. Mahajan Pdf

How You Can Risk-Proof Your Stock Market Investments. . . Derivatives include futures and options and are an indispensable part and parcel of developed financial markets. How derivatives work and how you can benefit from them to protect your stock market investment is the thrust of this book.

Author : George Kaye
Publisher : World Scientific Publishing Company
Page : 440 pages
File Size : 55,7 Mb
Release : 2012-11-16
Category : Business & Economics
ISBN : 9781908979582

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The Value of Uncertainty by George Kaye Pdf

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.

Author : Kamil Liberadzki,Marcin Liberadzki
Publisher : Springer
Page : 224 pages
File Size : 49,9 Mb
Release : 2016-04-08
Category : Business & Economics
ISBN : 9781137589712

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Hybrid Securities by Kamil Liberadzki,Marcin Liberadzki Pdf

Hybrid capital securities or 'hybrids' offer various benefits. They offer flexibility equity without shareholder dilution, provide protection to senior creditors, are a stable source of long-term funding for healthy companies, and help insurers and banks meet regulatory and rating agency capital requirements. Risks and features of hybrid securities are expressed in the credit spread of some relatively new financial instruments, but no structural fundamentals exist for to price hybrids precisely. This book proposes a model for the pricing of hybrids. It begins by explaining the concept of hybrids as well as their equity- and debt-like characteristics. Different types of hybrids are presented, including preference shares, convertible bonds, contingent convertibles (CoCos) and bail-in bonds. The authors then present analysis of regulatory regimes' impact on hybrids. They discuss the types of hybrid bonds that are contemplated in the Capital Requirements Regulation (CRR) and Banking Union mechanism. They then present an in-depth examination of hybrids pricing and risk assessment techniques. The book provides a comprehensive analysis from mathematical, legal and financial perspectives in order to look at relatively new financial instruments and address problems with the pricing models of hybrids which are as yet unsolved.

Author : Satyajit Das
Publisher : Wiley
Page : 0 pages
File Size : 43,8 Mb
Release : 2001-01-23
Category : Business & Economics
ISBN : 0471847755

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Structured Products & Hybrid Securities by Satyajit Das Pdf

This book is both a comprehensive introduction to the booming ($200 billion) structured note market, and a practical reference on the mechanics of the structuring process. Readers get detailed coverage of all major types of structured notes across all types of assets. This updated and expanded Second Edition features increased or entirely new coverage of equity linked notes; convertible pricing; credit-linked notes; inflation linked securities; and CAT insurance linked bonds.

Author : Othmane Kettani,Adil Reghai
Publisher : Springer Nature
Page : 61 pages
File Size : 44,9 Mb
Release : 2020-09-16
Category : Mathematics
ISBN : 9783030574963

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Financial Models in Production by Othmane Kettani,Adil Reghai Pdf

This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and control. Addressing some of the most important and cutting-edge issues, it describes how to build the necessary models in order to risk manage all the costs involved in options fabrication within the world of equity derivatives and hybrids. This is achieved by extending classical models and improving them in order to account for complex features. The book is primarily aimed at market practitioners (traders, risk managers, risk control, top managers), as well as Masters students in Quantitative/Mathematical Finance. It will also be useful for instructors hoping to enrich their courses with practical examples. The prerequisites are basic stochastic calculus and a general knowledge of financial markets and financial derivatives.

Author : Marcin Liberadzki,Kamil Liberadzki
Publisher : Springer
Page : 229 pages
File Size : 45,6 Mb
Release : 2019-06-17
Category : Business & Economics
ISBN : 9783319925011

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Contingent Convertible Bonds, Corporate Hybrid Securities and Preferred Shares by Marcin Liberadzki,Kamil Liberadzki Pdf

This book is a comprehensive guide to the new generation of hybrid securities: subordinated and perpetual bonds with deferrable coupon first issued around 2003, and the youngest member of the hybrids family named CoCos (contingent convertibles) being a product of Basel III or European Union CRD IV regime (2014). Contingent capital constitutes a contractual recapitalization mechanism for troubled financial institutions. An increasing number of European banks have issued CoCo bonds in order to bolster their capital ratios. Following the EU pattern, CoCos issues have become increasingly popular within banks in Asia and the Pacific. The EU regulatory treatment of the contingent convertibles issued by banks and insurers together with bank bail-in instruments is at the forefront of the book. Furthermore, the book provides an overview of hybrids pricing and risk assessment approach and covers the non-voting preferred stocks as another hybrids class.

Author : Antti Laukkanen
Publisher : IBFD
Page : 487 pages
File Size : 55,5 Mb
Release : 2007
Category : Bonds
ISBN : 9789087220228

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Taxation of Investment Derivatives by Antti Laukkanen Pdf

This dissertation aims to provide a comprehensive overview of the taxation of investment derivatives and the relationship between the derivatives and the accrual and realization methods. Investment derivatives, such as convertible bonds, include an initial investment and a derivative (an option) to buy or sell or to participate in the value movements of some underlying property. The principal focus of this study is on three universal tax issues, namely valuation, timing and the taxation of unrealized gains. As a common principle, interest income and capital gains are treated more similarly in corporate taxation than in individual taxation. Moreover, the taxation of financial instruments is currently in a turn-around phase in several countries, not least because of the implementation of the IFRS rules in accounting and the related fair value principle. The obligation to use fair values in accounting apparently motivates tax legislators to strive to use the same principles in taxation as well. The comparative method plays a major role in this study by examining the tax legislations and the tax practices of different countries. An in-depth analysis of the similarities and differences of tax laws and practices in the United States, the United Kingdom, Germany, Finland and Sweden is provided. This is of particular interest as the underlying components, single and often specified financial derivatives, are basically identical. While this study does not deal with individual tax treaties or bilateral transactions, the OECD Model is scrutinized in order to highlight the underlying principles of the given recommendations, especially with respect to interest income and capital gains. Due to the increasing importance of IFRS rules in accounting, the study is not limited to tax law, but also looks at issues from the perspective of finance, accounting and economics.