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Exotic options and hybrids : a guide to structuring, pricing and trading / Mohamed Bouzoubaa and Adel Osseiran
Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: The Wiley Finance Ser ; v.505Publisher: Chichester ; Hoboken, NJ : John Wiley & Sons, 2010Edition: Online-AusgDescription: Online-Ressource (1 online resource (xx, 372 p.)) : illISBN:- 9781282939707
- 128293970X
- 9780470970546
- 332.6453
- 332.64/53
- HG6024.A3
Contents:
Summary: 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 modelSummary: Exotic Options and Hybrids -- Contents -- Exotic Options and Hybrids -- List of Symbols and Abbreviations -- Preface -- PART I FOUNDATIONS -- 1 Basic Instruments -- 1.1 Introduction -- 1.2 Interest Rates -- 1.2.1 LIBOR vs Treasury Rates -- 1.2.2 Yield Curves -- 1.2.3 Time Value of Money -- 1.2.4 Bonds -- 1.2.5 Zero Coupon Bonds -- 1.3 Equities and Currencies -- 1.3.1 Stocks -- 1.3.2 Foreign Exchange -- 1.3.3 Indices -- 1.3.4 Exchange-traded Funds -- 1.3.5 Forward Contracts -- 1.3.6 Futures -- 1.4 Swaps -- 1.4.1 Interest Rate Swaps -- 1.4.2 Cross-currency Swaps -- 1.4.3 Total Return Swaps -- 1.4.4 Asset Swaps -- 1.4.5 Dividend Swaps -- 2 The World of Structured Products -- 2.1 The Products -- 2.1.1 The Birth of Structured Products -- 2.1.2 Structured Product Wrappers -- 2.1.3 The Structured Note -- 2.2 The Sell Side -- 2.2.1 Sales and Marketing -- 2.2.2 Traders and Structurers -- 2.3 The Buy Side -- 2.3.1 Retail Investors -- 2.3.2 Institutional Investors -- 2.3.3 Bullish vs Bearish, the Economic Cycle -- 2.3.4 Credit Risk and Collateralized Lines -- 2.4 The Market -- 2.4.1 Issuing a Structured Product -- 2.4.2 Liquidity and a Two-way Market -- 2.5 Example of an Equity Linked Note -- 3 Vanilla Options -- 3.1 General Features of Options -- 3.2 Call and Put Option Payoffs -- 3.3 Put-call Parity and Synthetic Options -- 3.4 Black-Scholes Model Assumptions -- 3.4.1 Risk-neutral Pricing -- 3.5 Pricing a European Call Option -- 3.6 Pricing a European Put Option -- 3.7 The Cost of Hedging -- 3.8 American Options -- 3.9 Asian Options -- 3.10 An Example of the Structuring Process -- 3.10.1 Capital Protection and Equity Participation -- 3.10.2 Capital at Risk and Higher Participation -- 4 Volatility, Skew and Term Structure -- 4.1 Volatility -- 4.1.1 Realized Volatility -- 4.1.2 Implied Volatility -- 4.2 The Volatility Surface.PPN: PPN: 807324655Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | BSZ-30-PQE-K1DLR | ZDB-30-PQE | ZDB-38-EBR
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