Description of Options, Futures and Exotic Derivative Assets
One of the most innovative and rapidly developing areas of tailor-made exotic derivative assets. These products are widely used by institutional fund managers to adjust and fine-tune the risk-return characteristics of their portfolios and by investors to take very specific or relative views on the market. The active use of derivative and exotic options is revolutionizing the world of investment and risk management. Offering a European perspective and a software package, this book gives comprehensive coverage of an expanding area of finance, deals with numerous new forms of exotic options, and provides questions and review sections throughout to reinforce the text.
"The authors have done an admirable job at distilling what is relevant in option research in one single volume. I wish I'd had the chance to read it before writing my own book."
- Nassim Taleb, veteran option arbitrageur and author of Dynamic Hedging
"This is a delightful promenade in derivatives land. The book is encyclopaedic yet crisp and inspired. It is the story - told in equations - of the charms and spells of options and their underlying mathematics."
- Jamil Baz, Head of Financial Strategies, Lehman Brothers Europe
"One of the merits of the book is that it is self-contained. It is both a textbook and a reference book. It covers the basics of the theory, as well as the techniques for valuation of many of the more exotic derivatives. It contains a detailed knowledge of the field. What is more, it is written with a deep understanding of the economics of finance."
- Oldrich Alfons Vasicek
Contents of Options, Futures and Exotic Derivative Assets
1. Financial Markets, Innovation and Trading Activity
2. The Dynamics of Asset Prices: Analysis and Applications
3. Applications to Asset and Derivative Asset Pricing in Complete Markets
4. Asset pricing in Complete Markets: Changing Numeraire and Time
5. Analytical European Option Pricing Models
6. Monitoring and Management of Option Positions
7. Extension to American Options: Dividends and Early Exercise
8. Generalization to Stochastic Interest Rates
9. Pricing Corporate Bonds
10. Pricing Insurance Linked Bonds
11. Further Generalization to Jump Processes, Stochastic Volatilities and Information Costs
12. The Lattice Approach and the Binomial Model
13. Numerical Methods for American Option Pricing
14. Exchange, Forward Start and Chooser Options
15. Rainbow Options
16. Extendible Options
17. Foreign Currency Options and Hybrid Securities
18. Binaries and Barriers
19. Lookback Options
20. Asian and Flexible Asian Bonds
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