Pricing and Managing Exotic and Hybrid Options by Vineer Bhansali, ISBN: 9780070066694 at the Global Investor Bookshop

Pricing and Managing Exotic and Hybrid Options
by Vineer Bhansali

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Product code: 9585
ISBN: 0070066698, ISBN13: 9780070066694, 364 pages, hardback
Published by McGraw-Hill Professional in 1998 , 1st edition

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Description of Pricing and Managing Exotic and Hybrid Options
Exotic and hybrid options provide, for many risk managers, the ideal risk-protection tool. Many of the rules and strategies are still being formulated, resulting in frequent and costly calculation errors and misunderstandings. Pricing and Managing Exotic and Hybrid Options introduces methods for pricing, trading, and managing this new generation of derivative products. Risk managers and traders can turn to this practical, hand-on book for detailed mathematical analyses and in-depth coverage including: correlation - a complete description, and why it is the most important factor to quantify computer code - sophisticated techniques for building a customized pricing mechanism valuable appendices - tools and summaries to which practitioners can quickly refer when pricing, trading and managing their own portfolios Pricing and Managing Exotic and Hybrid Options communicates the fundamental dependence and consequences of correlation effects for the new generation of financial products. But, more than that, its uniquely perceptive and intuitive approach equips traders and risk managers with clear mechanisms for pricing exotic and hybrid options, establishes strategies for managing them, and carefully illustrates methods for integrating them into an overall risk-management portfolio.
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Contents of Pricing and Managing Exotic and Hybrid Options
1. Transactions Equity Index-Linked Interest-Rate Options Foreign-Exchange-Linked Caps Multifactor Range Accrual Notes Self-Adjusting Forwards Yield Curve Basket Options Outperformance Options Portfolio Insurance Convertible Issuance Hedges 'Diffs' and Cross-Currency Swaps Intermarket Spread Option Long-Dated Foreign Exchange Options Multiasset Barrier Swaps Multiasset American Puts 2. Markets and Products Markets Product Variations 3. Pricing Analytics Zero-Correlation Pricing The Multifactor Stochastic Process Symmetries, Invariances, and Equivalences Spread Options Constructing the Explicit Dynamic Hedge Long-Dated Forex Options 'Inside' and 'Outside' Barrier Options 'Rainbow' Options Convertible Bonds with Stochastic Interest Rates Baskets and the Edgeworth Expansion Generalized Put-Call Conversions and Static Hedging Which Discount Curve? 4. Correlation Estimation Correlation term Structure Trading Correlation with Volatility Vector Algebra for Correlation deviations from Multinormality 5. Numerical Methods Numerical Integration Multivariable Monte-Carlo Simulation Multivariate Trees and Lattices Finite Difference Methods Advanced Numerical Techniques 6. Strategic Risk Management Trade Selection Cross Risks Hedging Costs The Index Approach and Optimal Risk Aggregation Market Price of Risk for Hybrids Static Hedging Implied Joint Probabilities Trading Algorithms and Risk Measures 7. Epilogue Utility (or futility) of Hedging with Customized Products Deferred Profits The Doctrine of Effective Dynamics References Appendix A: Techniques for Normal Integrals Common Integrals Cholesky Decomposition Appendix B: Random Vectors in n Dimensions ÊDensity and Distribution Transformations Independence Mean and Covariance Conditional Densities Conditional Expected Values Characteristic Functions and Normality Order-Statistics Appendix C: Review of Basic Black-Scholes Pricing Appendix D: Monte-Carlo Engine in VBA Appendix EL Max-Min Algebra Appendix F: Volatility and Skews Estimation Hedge readjustment with Vol Skews Appendix G: Multivariate Statistical Techniques Overview of Multivariate Methods Covariance Matrix Eigenstructure Applied Principal Components Decomposition Appendix H: Distributions Properties of the Lognormal Distribution Mixed Normal Distributions Moment Generating Functions Multivariate Distributions Method of Moments Useful Numerical Approximations Appendix I: Stochastic Process Useful Properties Girsanov Theory and Change of Drift Solution of Stochastic Differential Equations Level-Crossing First-Passage Time Appendix J: PDE Methods Classification Numerical Solutions of the Diffusion Equation Analytic Solutions of the Diffusion Equation Fourier Transform Method Laplace Transform Methods Index

Pricing and Managing Exotic and Hybrid Options

Description of Pricing and Managing Exotic and Hybrid Options

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Contents of Pricing and Managing Exotic and Hybrid Options

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