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Exotic Options Trading奇异期权交易书籍详细信息
- ISBN：9780470517901
- 作者：暂无作者
- 出版社：暂无出版社
- 出版时间：2008-04
- 页数：暂无页数
- 价格：670.60
- 纸张：胶版纸
- 装帧：精装
- 开本：32开
- 语言：未知
- 丛书：暂无丛书
- TAG：暂无
- 豆瓣评分：暂无豆瓣评分
内容简介：
Written by an experienced trader and consultant, Frans de Weert’s Exotic Options Trading offers a risk-focused approach to the pricing of exotic options. By giving readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options.
De Weert begins by explaining the risks associated with trading an exotic option before dissecting these risks through a detailed analysis of the actual economics and Greeks rather than solely stating the mathematical formulae. The book limits the use of mathematics to explain exotic options from an economic and risk perspective by means of real life examples leading to a practical interpretation of the mathematical pricing formulae.
The book covers conventional options, digital options, barrier options, cliquets, quanto options, outperformance options and variance swaps, and explains difficult concepts in simple terms, with a practical approach that gives the reader a full understanding of every aspect of each exotic option. The book also discusses structured notes with exotic options embedded in them, such as reverse convertibles, callable and puttable reverse convertibles and autocallables and shows the rationale behind these structures and their associated risks.
For each exotic option, the author makes clear why there is an investor demand; explains where the risks lie and how this affects the actual pricing; shows how best to hedge any vega or gamma exposure embedded in the exotic option and discusses the skew exposure.
By explaining the practical implications for every exotic option and how it affects the price, in addition to the necessary mathematical derivations and tools for pricing exotic options, Exotic Options Trading removes the mystique surrounding exotic options in order to give the reader a full understanding of every aspect of each exotic option, creating a useable tool for dealing with exotic options in practice.
“Although exotic options are not a new subject in finance, the coverage traditionally afforded by many texts is either too high level or overly mathematical. De Weert's exceptional text fills this gap superbly. It is a rigorous treatment of a number of exotic structures and includes numerous examples to clearly illustrate the principles. What makes this book unique is that it manages to strike a fantastic balance between the theory and actual trading practice. Although it may be something of an overused phrase to describe this book as compulsory reading, I can assure any reader they will not be disappointed.”
书籍目录：
Preface
Acknowledgments
1 Introduction
2 Conventional Options, Forwards and Greeks
3 Profit on Gamma and Relation to Theta
4 Delta Cash and Gamma Cash
5 Skew
6 Simple Option Strategies
7 Monte Carlo Processes
8 Chooser Option
9 Digital Options
10 Barroer Options
11 Forward Starting Options
12 Ladder Options
13 Lookback Options
14 Cliquets
15 Reverse Convertibles
16 Autocallables
17 Callable and puttable Reverse Convertibles
18 Asian Options
19 Quanto Options
20 Composite Options
21 Outperformance Options
22 Best of and Worst of Options
23 Variance Swaps
24 Dispersion
25 Emgomeeromg Fomamcoa; Strictires
Appendix A Variance of a Composite Option and Outperformance Option
Appendix B Replicating the Variance Swap
Bibliography
Index
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