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Index
Praise
Title Page
Copyright Page
Dedication
List of Symbols and Abbreviations
Preface
Part I - Foundations
Chapter 1 - Basic Instruments
1.1 INTRODUCTION
1.2 INTEREST RATES
1.3 EQUITIES AND CURRENCIES
1.4 SWAPS
Chapter 2 - The World of Structured Products
2.1 THE PRODUCTS
2.2 THE SELL SIDE
2.3 THE BUY SIDE
2.4 THE MARKET
2.5 EXAMPLE OF AN EQUITY LINKED NOTE
Chapter 3 - Vanilla Options
3.1 GENERAL FEATURES OF OPTIONS
3.2 CALL AND PUT OPTION PAYOFFS
3.3 PUT-CALL PARITY AND SYNTHETIC OPTIONS
3.4 BLACK-SCHOLES MODEL ASSUMPTIONS
3.5 PRICING A EUROPEAN CALL OPTION
3.6 PRICING A EUROPEAN PUT OPTION
3.7 THE COST OF HEDGING
3.8 AMERICAN OPTIONS
3.9 ASIAN OPTIONS
3.10 AN EXAMPLE OF THE STRUCTURING PROCESS
Chapter 4 - Volatility, Skew and Term Structure
4.1 VOLATILITY
4.2 THE VOLATILITY SURFACE
4.3 VOLATILITY MODELS
Chapter 5 - Option Sensitivities: Greeks
5.1 DELTA
5.2 GAMMA
5.3 VEGA
5.4 THETA
5.5 RHO
5.6 RELATIONSHIPS BETWEEN THE GREEKS
5.7 VOLGA AND VANNA
5.8 MULTI-ASSET SENSITIVITIES
5.9 APPROXIMATIONS TO BLACK-SCHOLES AND GREEKS
Chapter 6 - Strategies Involving Options
6.1 TRADITIONAL HEDGING STRATEGIES
6.2 VERTICAL SPREADS
6.3 OTHER SPREADS
6.4 OPTION COMBINATIONS
6.5 ARBITRAGE FREEDOM OF THE IMPLIED VOLATILITY SURFACE
Chapter 7 - Correlation
7.1 MULTI-ASSET OPTIONS
7.2 CORRELATION: MEASUREMENTS AND INTERPRETATION
7.3 BASKET OPTIONS
7.4 QUANTITY ADJUSTING OPTIONS: “QUANTOS”
7.5 TRADING CORRELATION
Part II - Exotic Derivatives and Structured Products
Chapter 8 - Dispersion
8.1 MEASURES OF DISPERSION AND INTERPRETATIONS
8.2 WORST-OF OPTIONS
8.3 BEST-OF OPTIONS
Chapter 9 - Dispersion Options
9.1 RAINBOW OPTIONS
9.2 INDIVIDUALLY CAPPED BASKET CALL (ICBC)
9.3 OUTPERFORMANCE OPTIONS
9.4 VOLATILITY MODELS
Chapter 10 - Barrier Options
10.1 BARRIER OPTION PAYOFFS
10.2 BLACK-SCHOLES VALUATION
10.3 HEDGING DOWN-AND-IN PUTS
10.4 BARRIERS IN STRUCTURED PRODUCTS
Chapter 11 - Digitals
11.1 EUROPEAN DIGITALS
11.2 AMERICAN DIGITALS
11.3 RISK ANALYSIS
11.4 STRUCTURED PRODUCTS INVOLVING EUROPEAN DIGITALS
11.5 STRUCTURED PRODUCTS INVOLVING AMERICAN DIGITALS
11.6 OUTPERFORMANCE DIGITAL
Chapter 12 - Autocallable Structures
12.1 SINGLE ASSET AUTOCALLABLES
12.2 AUTOCALLABLE PARTICIPATING NOTE
12.3 AUTOCALLABLES WITH DOWN-AND-IN PUTS
12.4 MULTI-ASSET AUTOCALLABLES
Part III - More on Exotic Structures
Chapter 13 - The Cliquet Family
13.1 FORWARD STARTING OPTIONS
13.2 CLIQUETS WITH LOCAL FLOORS AND CAPS
13.3 CLIQUETS WITH GLOBAL FLOORS AND CAPS
13.4 REVERSE CLIQUETS
Chapter 14 - More Cliquets and Related Structures
14.1 OTHER CLIQUETS
14.2 MULTI-ASSET CLIQUETS
14.3 NAPOLEONS
14.4 LOOKBACK OPTIONS
Chapter 15 - Mountain Range Options
15.1 ALTIPLANO
15.2 HIMALAYA
15.3 EVEREST
15.4 KILIMANJARO SELECT
15.5 ATLAS
15.6 PRICING MOUNTAIN RANGE PRODUCTS
Chapter 16 - Volatility Derivatives
16.1 THE NEED FOR VOLATILITY DERIVATIVES
16.2 TRADITIONAL METHODS FOR TRADING VOLATILITY
16.3 VARIANCE SWAPS
16.4 VARIATIONS ON VARIANCE SWAPS
16.5 OPTIONS ON REALIZED VARIANCE
16.6 THE VIX: VOLATILITY INDICES
16.7 VARIANCE DISPERSION
Part IV - Hybrid Derivatives and Dynamic Strategies
Chapter 17 - Asset Classes (I)
17.1 INTEREST RATES
17.2 COMMODITIES
Chapter 18 - Asset Classes (II)
18.1 FOREIGN EXCHANGE
18.2 INFLATION
18.3 CREDIT
Chapter 19 - Structuring Hybrid Derivatives
19.1 DIVERSIFICATION
19.2 YIELD ENHANCEMENT
19.3 MULTI-ASSET CLASS VIEWS
19.4 MULTI-ASSET CLASS RISK HEDGING
Chapter 20 - Pricing Hybrid Derivatives
20.1 ADDITIONAL ASSET CLASS MODELS
20.2 COPULAS
Chapter 21 - Dynamic Strategies and Thematic Indices
21.1 PORTFOLIO MANAGEMENT CONCEPTS
21.2 DYNAMIC STRATEGIES
21.3 THEMATIC PRODUCTS
Appendices
Postscript
Bibliography
Index
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