Exotic equity derivatives book

While written on equities the concepts can easily translate to other asset classes, since there are not many books on the actual design of derivatives contracts this book fills a major gap for practitioners. Any way you can think of for determining the payoff of a derivative claim has probably been thought of and tried before you. As opposed to a call or put option which are fairly straight forward. Written by the internationally respected academicfinance professional author team of sebastien bossu and philipe henrotte, an introduction to equity derivatives is the fully updated and expanded second edition of the popular finance and derivatives. Goldman sachs put together a list of the best books and it is impressive and long unfortunately it is hard to sift through since it just has the title and the author without any information on the book so we are helping you out by filing in that info. The definitive guide to exotic options and structured notes pdf, epub, docx and torrent then this site is not for you. The london based structured and exotic products desk is a major player in the execution of exotic equity derivatives. Consider an indexed principal swap in which we are obligated to pay fixed rates and receive floating rates and in which the size of the principal increases as interest rates decline. An exotic derivative, in finance, is a derivative which is more complex than commonly traded vanilla products. Gregoire lenglet exotic equity derivatives trader at bank j. Use features like bookmarks, note taking and highlighting while reading structured equity derivatives. This is a qualitative book on structuring equity derivatives, which does a great job of covering pricing from a hedging perspective. An exotic option is an option that differs in structure from common american or european options in terms of the underlying asset, or the calculation of how or when the investor. If youre looking for a free download links of structured equity derivatives.

A large number of different types of derivative securities have become very important for management of a variety of different types of equityrelated risks. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual. This complexity usually relates to determination of payoff. In finance, an equity derivative is a class of derivatives whose value is at least partly derived from one or more underlying equity securities. Equity derivatives dealers have been trying hard to adopt a more cradletothegrave approach to their exotic book business in recent years. A search for effective products to lay off exotic book risks chimes with a growing enthusiasm among hedge funds, in particular, for nondirectional trades that are little correlated with other, more. Role of equity derivatives risk management of portfolio. An introduction to equity derivatives wiley online books. This term contrasts with the use of vanilla derivatives to denote more standard derivative contracts.

Managingtrading a book of exotic equity derivatives on global indices and regional etfs in which the main risk parameters are the volatility, vol of vol and spotvol correlation oriented. In financial derivatives terminology, the term exotic derivatives usually refers to more complex, unusual and specific derivative contracts that depend on the value of some underlying asset or defined set of assets. If you want to find the full list go here we also list it below at the bottom along with descriptions. In essence, it is a simplification of the blackscholes method as it considers the fluctuation of the price of the underlying asset in discrete time. As such, certain derivative instruments have been considered exotic when first conceived of and sold, but lost this status when they were traded with significant enough volume. In finance, an exotic option is an option which has features making it more complex than commonly traded vanilla options. The definitive guide to exotic options and structured notes although the pricing and hedging of derivatives contracts has been the subject of a large number of bo. Producers and consumers, investors and issuers, hedgers and speculators, governments and financial institutions. Otc equity derivatives an otc equity derivative can be delivered on a standalone basis or as part of a structured product. The definitive guide to exotic options and structured notes the wiley finance series pdf, epub, docx and torrent then this site is not for you.

The definitive guide to exotic options and structured. What are some of the best books to learn about equity. The definitive guide to exotic options and structured notes the wiley finance series book 252 kindle edition by kat, harry m download it once and read it on your kindle device, pc, phones or tablets. Everything you need to get a grip on the complex world of derivatives. Plain vanilla is the opposite of an exotic instrument, which. Chapter 1exotic derivatives strictly speaking, an exotic derivative is any derivative that is not a plain vanilla call or put. Part of the applied quantitative finance series book series aqf abstract. Kat although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual design of derivatives contracts. The category may also include derivatives with a nonstandard subject matter i. An exotic option may also include nonstandard underlying instrument, developed for a particular client or for a particular market.

Asset allocation, valuation, portfolio construction, and strategies, second edition book. Pricing theory, exotic options, and hedging applications. As with the 1st book, it is heavily focused on exotic equity derivative instruments pricing. Told myself last night that id go to the gym downstairs in my building for a quick workout before work today. Written by a quant with many years of experience in the field this book provides an uptodate account of equity and equityhybrid equityrates, equitycredit, equityforeign exchange derivatives modeling from a practitioners perspective. Derivatives trader resume samples and examples of curated bullet points for your resume to help you get an interview. The term exotic derivative has no precisely defined meaning, being a colloquialism that reflects how common a particular derivative is in the marketplace. The definitive guide to exotic options and structured notes by harry m. Introducing a knockout barrier reduces the price of a vanilla option. Mohamed bouzoubaa is an experienced practitioner in the world of derivatives, and is currently head of derivatives trading and structuring at cdg capital. Another technique for pricing options is the binomial lattice model. Jan 02, 2012 mohamed bouzoubaa is an experienced practitioner in the world of derivatives, and is currently head of derivatives trading and structuring at cdg capital. Plain vanilla signifies the most basic or standard version of a financial instrument, usually options, bonds, futures and swaps.

From the foreword by fischer black, cocreator of the blackscholes model never before has there been so much interest in equity derivatives or so much. Pdf listed volatility and variance derivatives download. Exotic derivatives definition what are exotic derivatives. Everyday low prices and free delivery on eligible orders. Readers should have some familiarity with basic equity derivatives pricing and advanced mathematics because this book. Equity derivatives equity derivatives are derivatives that are based on stock, stock index or basket of stocks. The approach is extremely natural the only limit is the readers own creativity. It covers all of the fundamentals of quantitative finance clearly and. This report may be distributed only to persons who have received a copy of the booklet characteristics and risks of standardized options, published by. Like the more general exotic derivatives they may have several triggers relating to determination of payoff. From the foreword by fischer black, cocreator of the blackscholes model never before has there been so much interest in equity derivativesor so much. William boussard exotic equity derivatives trader vice. With particular focus on equity index and fund derivatives, we facilitate all otc trades in these areas for our multitier clients.

Dr amine jalal, vice president, equity derivatives trading, goldman sachs international exotic options and hybrids. Equity derivative sales august 1998 salomon smith barney exotic equity derivatives manual randall fairman, ph. An investor may be willing to take the risk of the underlying trading at the barrier level. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the blackscholes model. The author of this article works as an associate for an investment bank in nyc trading exotic derivatives. There are so many ways to use derivatives that im almost surprised when someone doesnt use them. Binomial lattices are easily implemented but can be computationally demanding. Gregoire lenglet exotic equity derivatives trader bank. The definitive guide to exotic options and structured notes the wiley finance series by harry m. Structured equity derivatives fills this gap in a remarkable way. Seek to provide best execution across a range of equity instruments with a focus on equity derivatives futures, options and swaps execute strategies in a logical, riskcontrolled manner. Structured products involve packaging standard or exotic options, equity selection from the theory and practice of investment management. Equity derivatives derivatives derivatives are based on cash market instruments cash products such as stocks, stock indexes, bonds, currencies and commodities etc. These exotic swaps, indexed principal swaps, are a variant in which the principal is not fixed for the life of the option but tied to the level of interest rates.