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Emerging Financial Derivatives "Understanding exotic options and structured products"

Emerging Financial Derivatives "Understanding exotic options and structured products"

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  • ISBN:9780415826198
  • Editorial: Routledge
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:150
  • Idiomas:Inglés,Ingles

Materias:

Exotic options and structured products are two of the most popular financial products over the past ten years and will soon become very important to the emerging markets, especially China. This book first discusses the products' recent development in the world and provides comprehensive overview of the major products. The book also discusses the risks of issuing and buying such products as well as the techniques to price them and to assess the risks. Volatility is the most important factor in determining the return and risk. Therefore, significant part of the book's content discusses how we can measure the volatility by using local and stochastic volatility models - Heston Model and Dupire Model, the volatility surface, the term structure of volatility, variance swaps, and breakeven volatility. The book introduces a set of dimensions which can be used to describe structured products to help readers to classify them. It also describes the more commonly traded exotic options with details. The book discusses key features of each exotic option which can be used to develop structured products and covers their pricing models and when to issue such products that contain such exotic options. This book contains several case studies about how to use the models or techniques to price and hedge risks. These case analyses are illuminating.

1. Survey of Equity Structured Products 2. Mathematical or Numerical Methods for Pricing Exotic Options 3. Stochastic and Local Volatility Models, Volatility Surface, Term Structure, and Breakeven Volatility 4. Key Exotic and Second Generation Options 5. Basic Structured Products 6. Pricing and Hedging, Hedging Strategies and Costs, and Hedging Instruments 7. Case Studies of More Complex Structured Products

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