Exotic Options and Hybrids

This guide is a practical reference and a great complement to anybodys financial library. —Mimoun Nadir, Head of Exotic Equity Derivatives, Calyon, Paris "Exotic Options and Hybrids is a refreshing book about getting the reader familiar ...

Author: Mohamed Bouzoubaa

Publisher: John Wiley & Sons

ISBN: 9780470710081

Category: Business & Economics

Page: 392

View: 911

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.

Studyguide for Exotic Options and Hybrids

Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780470688038 .

Author: Cram101 Textbook Reviews

Publisher: Academic Internet Pub Incorporated

ISBN: 9781617445156

Category: Business & Economics

Page: 314

View: 907

Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780470688038 .

Pricing and Managing Exotic and Hybrid Options

Author: Vineer Bhansali

Publisher: McGraw-Hill Companies


Category: Business & Economics

Page: 364

View: 948

Table of Contents

Exotic Options Trading

It is important to understand that hybrids in themselves are not exotic but it is the
product that can comprise underlyings from different asset classes that makes a
structure exotic. For example, the best of and worst of options do not necessarily

Author: Frans de Weert

Publisher: John Wiley & Sons

ISBN: 9781119995180

Category: Business & Economics

Page: 212

View: 103

Written by an experienced trader and consultant, Frans de Weert’s Exotic Options Trading offers a risk-focused approach to the pricing of exotic options. By giving readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options. De Weert begins by explaining the risks associated with trading an exotic option before dissecting these risks through a detailed analysis of the actual economics and Greeks rather than solely stating the mathematical formulae. The book limits the use of mathematics to explain exotic options from an economic and risk perspective by means of real life examples leading to a practical interpretation of the mathematical pricing formulae. The book covers conventional options, digital options, barrier options, cliquets, quanto options, outperformance options and variance swaps, and explains difficult concepts in simple terms, with a practical approach that gives the reader a full understanding of every aspect of each exotic option. The book also discusses structured notes with exotic options embedded in them, such as reverse convertibles, callable and puttable reverse convertibles and autocallables and shows the rationale behind these structures and their associated risks. For each exotic option, the author makes clear why there is an investor demand; explains where the risks lie and how this affects the actual pricing; shows how best to hedge any vega or gamma exposure embedded in the exotic option and discusses the skew exposure. By explaining the practical implications for every exotic option and how it affects the price, in addition to the necessary mathematical derivations and tools for pricing exotic options, Exotic Options Trading removes the mystique surrounding exotic options in order to give the reader a full understanding of every aspect of each exotic option, creating a useable tool for dealing with exotic options in practice. “Although exotic options are not a new subject in finance, the coverage traditionally afforded by many texts is either too high level or overly mathematical. De Weert's exceptional text fills this gap superbly. It is a rigorous treatment of a number of exotic structures and includes numerous examples to clearly illustrate the principles. What makes this book unique is that it manages to strike a fantastic balance between the theory and actual trading practice. Although it may be something of an overused phrase to describe this book as compulsory reading, I can assure any reader they will not be disappointed.” —Neil Schofield, Training Consultant and author of Commodity Derivatives: Markets and Applications “Exotic Options Trading does an excellent job in providing a succinct and exhaustive overview of exotic options. The real edge of this book is that it explains exotic options from a risk and economical perspective and provides a clear link to the actual profit and pricing formulae. In short, a must read for anyone who wants to get deep insights into exotic options and start trading them profitably.” —Arturo Bignardi

Managing Currency Risk Using Foreign Exchange Options

Exotic options are hybrids of vanilla options. The definition of an exotic option is
simply: Any option that is not a regular plain European or Americanstyle option.
Note: The term “exotic' is often used in the context of emerging market currencies

Author: Alan Hicks

Publisher: Elsevier

ISBN: 184569211X

Category: Business & Economics

Page: 352

View: 351

Building on the success of his bestselling Foreign Exchange Options, Alan Hicks has produced this new and invaluable guide to the use of currency options for corporate treasurers and other financial executives. Setting the principal OTC instruments within the company’s risk management framework, he provides an authoritative guide to the characteristics, advantages and uses of currency options in the management and control of foreign exchange risk. Alan Hicks’ unique experience allows him to concentrate on the practical application of options as experienced in the real world of foreign exchange, illustrated by the use of case study material throughout the book. Illustrates how FX options are derived from the underlying FX markets. Presents the benefits, costs, risks and rewards associated with various FX option strategies Demonstrates how options can play a part in any company’s FX risk management programme

Equity Derivatives and Hybrids

Considering σ as given the aim is to determine g such that the model is calibrated
to the market of European options. Local stochastic volatility models allow for the
production of a range of prices for exotic options while being calibrated to ...

Author: Oliver Brockhaus

Publisher: Springer

ISBN: 1137349492

Category: Business & Economics

Page: 287

View: 904

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.

Exotic Derivatives and Risk

A sizeable over- the-counter market has also developed, offering a variety of
specialized currency options. Among such specialized options are the so-called
quan- tos, hybrids, ratios, capped options, and so on. It is often interesting for ...

Author: Mondher Bellalah

Publisher: World Scientific

ISBN: 9812797475

Category: Business & Economics

Page: 600

View: 212

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.

Outperform the Dow

SUMMARY This final chapter explained the most popular exotic options and
derived methods to achieve high returns ... options • Lookback options • Average
options • Compound options • Multi - asset or correlation options Hybrids Cash or

Author: Gunter Meissner

Publisher: John Wiley & Sons Incorporated


Category: Business & Economics

Page: 210

View: 612

"Outperform the Dow presents not only fascinating statistics about the performance of the Dow itself but also how to beat that performance with nearly four dozen different methods, from the basic to the sophisticated. You won't often find strategies involving futures and options included in this type of discussion, but this practical guide shows how they can be used to boost your returns in simple, safe ways you might never have considered." -DARRELL JOBMAN, CoAuthor of The Complete Guide to Electronic Futures Trading The Dow Jones Industrial Average is the most widely followed equity index in the world, and the benchmark against which most U.S. investors measure their investment returns. Outperform the Dow outlines strategies and techniques that many investors have used to consistently beat this benchmark-and pump up their portfolio values. Outperform the Dow goes beyond simply discussing these strategies to provide solid, statistical evidence of their consistent superiority in up, down, and sideways markets. Learn here how you can profit from Dow-beating strategies that include: * Last Year's Winners n Smooth Risers * Tuesday Opportunity * Triple-Witching Days n Fool's Forecast * Semi-Monthly Analysis * January Momentum * Covered Call Writing * October/June Straddles * Exotic Options The objective of investing is to supply companies with capital and for the investor to gain profits. History shows that over time, certain techniques and strategies have consistently allowed savvy investors to gain exceptional profits. Discover the secrets of successful investors, climb down off the "buy-and-hold" bandwagon, and learn how to really make your money work for you with Outperform the Dow. Please visit our Web site at www.wileyfinance.com

Equity Derivatives Explained

A succinct book that provides readers with all they need to know about the equity derivatives business.

Author: Mohamed Bouzoubaa

Publisher: Palgrave Macmillan

ISBN: 9781137335531

Category: Business & Economics

Page: 112

View: 882

Equity Derivatives Explained is written in a clear, concise and down-to-earth manner by a long time practitioner and published author, this book delivers the necessary knowledge about equity derivatives for students, traders and finance professionals. Designed to bridge the gap between theory and practice by taking a risk centric approach, focusing on the fundamentals of why equity derivatives exist, the various strategies deployed and the aspects are most important to the relevant participants. Avoiding the typical long and complex theoretical and mathematical approaches, in favor of a direct, simple and intuitive approach, this introductory text offers an applied, practical and realistic approach to understanding equity derivatives. This book provides succinct but thorough coverage of the essentials of equity derivatives. It starts with an introduction on stock markets' fundamentals before opening the gate on the world of structured products. Delta-one products and options are covered in detail, providing readers with deep understanding of the use of equity derivatives strategies. Equity Derivatives Explained contains most of the traded payoffs and structures and covers all practical aspects of pricing and hedging. For each product, payoffs are accompanied by graphs, scenario analysis and real-life examples. The treatment of risks is performed in a very intuitive fashion and provides the reader with a great overview of how dealers approach such derivatives. The author also delivers various common sensical reasons on which models to use and when. By discussing equity derivatives in a practical, non–mathematical and highly intuitive setting, this book enables 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 equity-related concepts truly accessible.

The Handbook of Exotic Options

Quanto Hybrids : Quantos can be combined in a variety of ways with other exotic
options . Typical combinations are with spreads , performance - type , and barrier
- type options . The combination depends on the investor's specific trading view ...

Author: Israel Nelken

Publisher: McGraw Hill Professional

ISBN: 9781557389046

Category: Business & Economics

Page: 362

View: 471

The Handbook of Exotic Options is the first book to explain the theoretical foundations, structures, and applications of these exciting new instruments. Edited by Israel Nelken, one of the foremost experts in the field, this handbook provides an in-depth explanation of the latest uses of exotic options by institutional investors and corporate treasurers, as well as the latest thinking on advanced topics. Readers will find valuable discussions of: Options theory, volatility, and pricing; The Brownian Motion and the Black Scholes Model; Risk management applications of exotic options.


SPECIAL REPORT OPTIONS 74 4.00 2.50 ' 2.00 00 2.5% Strike 3-5% ' 1 65 ' 8' Q
Maturity 3.5% Strike El 4.00-4.50 I ... with swaps coming along first and then caps
and floors, then swaptions, then exotic options. structured notes and hybrids.




Category: Risk management


View: 997

The Handbook of Equity Derivatives

... 263 , 269 – 70 exotic options average rate , 267 barrier , 265 – 66 contingency
options , 268 guaranteed exchange rate ... Hybrid Statutory Interpretations , 521 -
22 marketing under , 524 – 25 requirements for automatic exemption , 522 - 23 ...

Author: Jack Clark Francis

Publisher: Irwin Professional Publishing


Category: Derivative securities.

Page: 686

View: 728

This much-needed volume examines the entire equity derivatives market and its instruments, from "classic" warrants, options, and futures . . . to the new and innovative PERCS, equity swaps, and equity-linked bonds . . . to stock index futures, the most successful financial futures contracts in the world.

Credit Risk Modelling

concentrating on credit derivatives , credit hybrids and convertibles . Prior to that
he was trading exotic options and CPI - linked products at Deutsche Australia Ltd.
in Sydney . He holds a PhD in statistics from the University of Dortmund . clients ...

Author: Michael B. Gordy



Category: Credit

Page: 278

View: 243

A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.

Futures Otc World

... Structured Products & smile see Satyajit Das “Option Hybrids Securities —
Second Pricing — Volatility Estimation Risk ... For a discussion of quanto options
see Satyajit Das Exotic Options (1996) LBC Information Services Sydney at
chapter ...




Category: Futures market


View: 269

Der englische Wortschatz

Author: Manfred Scheler

Publisher: Erich Schmidt Verlag


Category: English language

Page: 177

View: 751

Vault Guide to Advanced Finance and Quantitative Interviews

101 Option Valuation 1 : Introducing Black - Scholes . . . . . . . . . . . . . 110 Option
Valuation II : Other Solution Techniques . . . . . . . . . Option Sensitivities : the
Greeks . . . . . . . . . . . . . . . . . . . . . . . Exchange - traded Options .

Author: Jennifer Voitle

Publisher: Vault Reports Incorporated


Category: Business & Economics

Page: 281

View: 255

Professional career guide from the Vault Career Library covering bond fundamentals, statistics, derivatives (with detailed Black-Scholes calculations, fixed income securities, equity markets, currency and commodity markets, risk management.

Dissertation Abstracts International




Category: Dissertations, Academic


View: 339

Advanced Interest Rate and Currency Swaps

These are hybrids , commonly known as structured notes , that combine
traditional forms of fixed income investment with exotic options and swaps . The
reason for their existence is the need for yield enhancement without attendant
credit risk ...

Author: Ravi E. Dattatreya

Publisher: Probus Publishing Company


Category: Derivative securities

Page: 474

View: 757

This book analyzes and integrates the latest developments in this rapidly changing fields. Chapters by financial officers at major corporations such as Rolls Royce, PepsiCo, United Technology and Siemens Electronics further enhance the value of this truly unique book. Topics include: New products, such as indexed and cross-rate swaps; Managing swap credit risk; Liability hedging using swaps; Risk management at major corporations; Financial risk management for developing countries.

Handbook of Finance Financial Markets and Instruments

There are also Bermudan options , which are hybrids between American and
European option contracts . The distinguishing ... The more complex OTC options
created are called exotic options or nonstandard options . Examples of OTC ...

Author: Frank J. Fabozzi

Publisher: Wiley

ISBN: 9780470078143

Category: Business & Economics

Page: 852

View: 534

Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which financial instruments trade, and the players in those markets. It also addresses the role of financial markets in an economy, the structure and organization of financial markets, the efficiency of markets, and the determinants of asset pricing and interest rates. Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Other volumes in the set: Handbook of Finance Volume II: Investment Management and Financial Management and Handbook of Finance Volume III: Valuation, Financial Modeling, and Quantitative Tools.


Author: H.L. Larson Rhododendrons (Nursery)



Category: Nursery stock

Page: 16

View: 461