This title is a collection of cutting-edge chapters that outline developments in options since 1998 to 2003. The book encompasses modelling, pricing and hedging techniques for various exotic (eg, Barrier) options as well as generic "American style" options. The title comprises the following useful sections: volatility, which describes quantitative and qualitative elements; volatility and swaps; exotic options, which describes products and methods; and finally a useful section on exotic underlyers. This volume should be of interest to practitioners working at investment banks, financial consultancy companies, asset managers and hedge funds, as well as academics and post-graduate students in finance, mathematical finance, applied economics, and applied mathematics and finally to MBA students.
Volatility I: Quantitative and Qualitative Description
- Correcting Black-Scholes
Michael Kamal and Emanuel Derman
- Regimes of Volatility
Emanuel Derman
- If the skew fits
Gregory Brown and Curt Randall
- Uncertain volatility
Terry Lyons and Adam T Smith
- Jumping smiles
Leif Andersen and Jesper Andreasen
- Calibrating Random Volatility
Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar
- A mixed up smile
Damiano Brigo and Fabio Mercurio
- A fair value for the skew
Joe Zou and Emmanuel Derman
- Principles of the skew
Carol Alexander
- Crises and Volatility
Allan Malz
- The vol smile problem
Alexander Lipton
- Trees from history
Nusrat Cakici and Kevin Foster
- Reconstructing volatility
M.Avellaneda, Dash Boyer-Olson, Peter Friz and Jerome Busca
- Volatile volatilities
Leif Andersen and Jesper Andreasen
Volatility II: Vol Swaps
- Introducing the covariance swap
Peter Carr and Dilip Madan
- A guide to variance swaps
Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou
- Market risk of variance swaps
Neil Chriss and William Morokoff
- Volatility Swaps Made Simple
Oliver Brokhaus and Douglas Long
Exotic Options: Products and Methods
- Similarities via self-similarities
Alexander Lipton
- Pricing exotics under the smile
Klaus Said
- Upgrading your passport
Jan Vecer and Steven Shreve
- Going with the flow
Peter Carr, Alexander Lipton and Dilip Madan
- Static barriers
Leif Andersen and Jesper Andreasen
- Jumping in line
Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov
- Hedge your Monte Carlo
Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
- Behind the Mirror
Jesper Andreasen
- Black-Scholes goes hypergeometric
Claudio Albanese, Guiseppe Campolieti, Peter Carr and Alexander Lipton
- New products, new risks
Richard Quessette
- Himalaya Options
Marcus Overhaus
- Exotic Spectra
Vadim Linetsky
- Universal barriers
Alexander Lipton and William McGhee
- Unified Asian pricing
Jan Vecer
- Assets with jumps
Alexander Lipton
- Why Be Backward?
Peter Carr and Ali Hirsa
Exotic Underlyers
- Hedging under asymmetry
Angelo Arvanitis and Jean-Michel Lasry
- Insurance Optional
Claudio Giraldi, Gabriele Susinno, Giacomo Berti, John Brunello, Silvia Buttarazzi, Gianluca Cenciarelli, Carlo Daroda and Giuseppe Stamegna
- Pricing the Weather
Melanie Cao and Jason Wei
- Hedging electoral risk
Steve Kou and Michel Sobel
- Plugging into electricity
Helyette Geman and Oldrich Vasicek
- Mean-reverting Smiles
Alain Chebanier and David Beaglehole
- Substitute Hedging
Vicky Henderson and David Hobson
- A Two-factor mean-reverting model
David Beaglehole and Alain Chebanier
About Alexander Lipton (Editor)
Alexander Lipton is US product manager for equity derivatives, convertibles, and global foreign exchange in the Global Modelling and Analytics Group of Credit Suisse First Boston (CSFB). In this capacity, he is responsible for developing and implementing new models for pricing equity, convertible, and for exchange derivatives. He joined CSFB in July of 2002 from Deutsche Bank where he was a director in the Foreign Exchange Product Development Group. His current interests include stochastic volatility models, capital structure arbitrage, as well as relative value and technical trading strategies. Alexander is the author of two books Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange, and more than eighty scientific papers on applied mathematics and finance. In 2000 he became the first recipient of the Quant of the Year Award by Risk magazine. Alexander is an adjunct professor at the University of Illinois at Chicago, and a managing editor of the International Journal of Theoretical and Applied Finance.
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