Contact Us | Home
Toll Free No. for USA/Canada:   1-866-279-8368
| Advance Search
 
Currency:  $ £
Discounted Reports
MARKET RESEARCH SECTOR IN FOCUS
Energy & Resources
FMCG & Retailing
Pharmaceuticals and Healthcare
Textiles
MARKET REPORT DETAIL

Structured Products

Enquire | Email | Print

ISBN: 9781904339618
Published Date: Nov, 2008
 
 
Select pricing :
Change Currency: EURO | $ USD | £ GBP
Buy through us and save. We do not add any Tax / Duty including VAT,GST
  • Abstract
  • Table of Contents

Overview

“Structured products are among the fastest growing investment classes in world financial markets. One may dismiss such growth, one may partially acknowledge it as potentially responsive to a healthy matching of financial interests in markets. The latter perspective leads to an anticipation of long lasting and financial product creation” – from the Introduction, by Dilip Madan

Description

Edited by Dilip Madan, the leading expert in the structured products field, this collection of technical papers on this complex area is the third book in the new Cutting Edge series.

Structured Products is split into four arenas:

Equity Product Designs

* Volatility Products

* Options on Baskets

* Calibration considerations

The selection of papers offers in depth descriptions of new products arising from a variety of sources including investor interest and the hedging capability for the seller and is recommended reading for anyone working in structured products, equity markets and asset managers. It will be of interest to anyone attempting to grasp the complexity and technical issues surrounding structured products.

Preface

About the Editor

About the Authors

Introduction

Dilip Madan

PART I EQUITY PRODUCT DESIGNS

1 Disease or Cure?

Robert Jarrow and Donald van Deventer

2 Steps to the Barrier

Vadim Linetsky

3 Static Barriers

Leif Andersen; Jesper Andreasen

4 Himalaya Options

Marcus Overhaus

5 New Products, New Risks

Richard Quessette

6 Maximum Draw-Down and Directional Trading

Jan Vecer

7 Information Derivatives

Andrei Soklakov

8 A Short Cut to the Rainbow

Per Hörfelt

PART II VOLATILITY PRODUCTS

9 Introducing the Covariance Swap

Peter Carr; Dilip Madan

10 Realised Volatility and Variance: Options via Swaps

Peter Carr; Roger Lee

11 Variance Swaps under No Conditions

Artur Sepp

12 Corridor Variance Swaps

Peter Carr; Keith Lewis

13 Variance Swaps and Non-constant Vega

David Kuenzi

14 Smile Dynamics

Lorenzo Bergomi

15 Smile Dynamics II

Lorenzo Bergomi

PART III OPTIONS ON BASKETS

16 What Is a BasketWorth?

Peter Laurence; Tai-Ho Wang

17 Index Volatility Surface via Moment-Matching Techniques

Peter Lee, Limin Wang and Abdelkerim Karim

18 Reconstructing Volatility

Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca and Peter Friz

PART IV CALIBRATION CONSIDERATIONS

19 Exotic Spectra

Vadim Linetsky

20 Markovian Projection for Volatility Calibration

Vladimir Piterbarg

21 Calibrating and Pricing with Embedded Local Volatility Models

Yong Ren; Dilip Madan; Michael Qian Qian

Related Reports:  

 

Custom Research
If above report doesn't have the business information suitable for your business, we can provide custom research that would be lucrative for your business or enhance your profession. We leverage most comprehensive, affordable, high-quality custom research which will match exact topic & specifications of your choice. Please visit Custom Research page to make an enquiry.

 

Top Go to top of the page

product id: 87145, price: INR 7111, Risk

International Travel Grant for Members of
MANLIBNET (Management Libraries Network)
We accept
Phone: +91.22.27810772, 27810773
E-mail: info@bharatbook.com
Hours: Mon to Sat 8:00 AM to 8:00 PM IST
Call USA/Canada 1-866-279-8368
 
GPlus
About Trust Online