Exotic options and hybrids : a guide to structuring, pricing and trading

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Title:

Exotic options and hybrids : a guide to structuring, pricing and trading

Author:

Bouzoubaa, Mohamed.

ISBN:

9780470688038

Personal Author:

Bouzoubaa, Mohamed.

Publication Information:

Chichester : Wiley, 2010.

Physical Description:

xx, 372 p. : ill. ; 26 cm.

Series:

Wiley finance.

Wiley finance series.

General Note:

Formerly CIP.

Contents:

Pt. I. Foundations -- 1. Basic instruments -- 2. The world of structured products -- 3. Vanilla options -- 4. Volatility, skew and term structure -- 5. Option sensitivities: Greeks -- 6. Strategies involving options -- 7. Correlation -- Pt. II. Exotic derivatives and structured products -- 8. Dispersion -- 9. Dispersion options -- 10. Barrier options -- 11. Digitals -- 12. Autocallable structures -- Pt. III. More on exotic structures -- 13. The Cliquet family -- 14. More Cliquets and related structures -- 15. Mountain range options -- 16. Volatility derivatives -- Pt. IV. Hybrid derivatives and dynamic strategies -- 17. Asset clauses (I) -- 18. Asset clauses (II) -- 19. Structuring hybrid derivatives -- 20. Pricing hybrid derivatives -- 21. Dynamic strategies and thematic indices.

Abstract:

"Toxic waste . . . it is a sad day when derivatives are described as toxic waste. Are these financial products really so, particularly those of exotic nature, or is it in fact people's grasp and usage of them that is the source of toxicity? While the use of derivatives increased in recent years at astounding rates, the crash of 2008 has revealed that people's understanding of them has not rivalled their spread. Exotic Options and Hybrids is the first book to guide practitioners on how to structure, price and trade modern exotic and hybrid derivatives, without complicating matters with the use of maths. Starting from the unique practical setting of being in a derivatives operation, the book focuses on the three main parts of a derivative's life: the structuring of a product, its pricing and its hedging. The book will take readers through all the applications, strengths and limitations of various models, focussing on the products and their risks rather than the model implementations. Readers can thus understand how models work when applied to pricing and hedging. The book covers a multitude of structures and encompasses many of the most up-to-date and promising products, including hybrid derivatives and dynamic strategies. Each structure is analysed with a utility based approach to its structuring, and an insightful risk based approach to its pricing and hedging. As well as providing comprehensive coverage of exotic options, this book will also dedicate a number of chapters to hybrid derivatives, looking at their nature and at the construction of hybrid products. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast the misunderstandings and the stigma, and stand strong as the only book in its class to make these "exotic" concepts truly accessible."--Publisher's website.

Subject Term:

Exotic options (Finance)

Added Author:

Osseiran, Adel.

Copies:

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Material Type

1:GEN-BOOK

Item Barcode

33168025543527

Shelf Number

332.6453 B782E 2010

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Bound With These Titles

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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 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.

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