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Equity Hybrid Derivatives
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Book Synopsis Equity Hybrid Derivatives by : Marcus Overhaus
Download or read book Equity Hybrid Derivatives written by Marcus Overhaus and published by John Wiley & Sons. This book was released on 2007-02-02 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.
Book Synopsis Equity Derivatives and Hybrids by : Oliver Brockhaus
Download or read book Equity Derivatives and Hybrids written by Oliver Brockhaus and published by Springer. This book was released on 2016-04-29 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers.
Book Synopsis Exotic Options and Hybrids by : Mohamed Bouzoubaa
Download or read book Exotic Options and Hybrids written by Mohamed Bouzoubaa and published by John Wiley & Sons. This book was released on 2010-03-30 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
Book Synopsis Equity Derivatives Explained by : M. Bouzoubaa
Download or read book Equity Derivatives Explained written by M. Bouzoubaa and published by Springer. This book was released on 2014-05-09 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: A succinct book that provides readers with all they need to know about the equity derivatives business. It deals with vanilla equity products, their usage, structuring and their risk management. The author efficiently bridges the gap between theory and practice, constantly linking risk management tools with specific business objectives.
Book Synopsis Equity Derivatives by : Marcus Overhaus
Download or read book Equity Derivatives written by Marcus Overhaus and published by John Wiley & Sons. This book was released on 2011-08-10 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods. Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
Book Synopsis An Introduction to Equity Derivatives by : Sebastien Bossu
Download or read book An Introduction to Equity Derivatives written by Sebastien Bossu and published by John Wiley & Sons. This book was released on 2012-05-14 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything you need to get a grip on the complex world of derivatives Written by the internationally respected academic/finance 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. It covers all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technical detail. Designed for both new practitioners and students, it requires no prior background in finance and features twelve chapters of gradually increasing difficulty, beginning with basic principles of interest rate and discounting, and ending with advanced concepts in derivatives, volatility trading, and exotic products. Each chapter includes numerous illustrations and exercises accompanied by the relevant financial theory. Topics covered include present value, arbitrage pricing, portfolio theory, derivates pricing, delta-hedging, the Black-Scholes model, and more. An excellent resource for finance professionals and investors looking to acquire an understanding of financial derivatives theory and practice Completely revised and updated with new chapters, including coverage of cutting-edge concepts in volatility trading and exotic products An accompanying website is available which contains additional resources including powerpoint slides and spreadsheets. Visit www.introeqd.com for details.
Book Synopsis Handbook of Corporate Equity Derivatives and Equity Capital Markets by : Juan Ramirez
Download or read book Handbook of Corporate Equity Derivatives and Equity Capital Markets written by Juan Ramirez and published by John Wiley & Sons. This book was released on 2011-09-07 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity strategies are closely guarded secrets and as such, there is very little written about how investors and corporate can utilise equity vehicles as part of their growth strategies. In this much-needed book, industry expert Juan Ramiraz guides readers through the whole range of equity derivative instruments, showing how they can be applied to a range of equity capital market situations, including hedging, yield enhancement and disposal of strategic stakes, mergers and acquisitions, stock options plan hedging, equity financings, share buybacks and other transactions on treasury shares, bank regulatory capital arbitrage and tax driven situations. The book includes case studies to highlight how equity derivative strategies have been used in real-life situations.
Book Synopsis Advanced Equity Derivatives by : Sebastien Bossu
Download or read book Advanced Equity Derivatives written by Sebastien Bossu and published by John Wiley & Sons. This book was released on 2014-05-19 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.
Book Synopsis Equity Derivatives by : Edmund Parker
Download or read book Equity Derivatives written by Edmund Parker and published by Globe Law and Business Limited. This book was released on 2009 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible nwe title explains each type of transaction, together with the documentation involved. In particular, the book analyses and guides the reader through the full suite of OTC, exchange-traded and structured equity derivative documentation, and provides a detailed guide to the 2002 ISDA Equity Derivatives Definitions.The book further contains detailed analysis of the regulatory issues affecting equity derivative products in the United Kingdom, France, Germany, Italy, Spain and the United States, and covers tax issues arising in the United Kingdom and United States.
Book Synopsis The Handbook of Equity Derivatives by : Jack Clark Francis
Download or read book The Handbook of Equity Derivatives written by Jack Clark Francis and published by John Wiley & Sons. This book was released on 1999-11-08 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aktienderivate gehören zu den populärsten Derivatprodukten, die von institutionellen Anlegern gehandelt werden. Ein Aktienderivat ist ein Future oder eine Option auf Aktien oder Aktienindices. Zu den traditionellen Aktienderivaten gehören Optionsscheine, Optionen, Futures und Aktienindexfutures. Das "Handbook of Equity" ist eine vollständige und umfassende Überarbeitung des ersten und einzigen Buches zu diesem Thema. Herausgegeben von führenden Köpfen der Branche - darunter Nobelpreisträger Fischer Black, John Braddock und Mark Rubenstein - enthält es wichtige neue Informationen zu Aktienindexfutures und -optionen und erweitert die mathematische Diskussion um das Black & Scholes-Modell. (11/99)
Book Synopsis Equity and Foreign Exchange Hybrid Models for Pricing Long-maturity Financial Derivatives by : Lech Aleksander Grzelak
Download or read book Equity and Foreign Exchange Hybrid Models for Pricing Long-maturity Financial Derivatives written by Lech Aleksander Grzelak and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advanced Equity Derivatives by : Sebastien Bossu
Download or read book Advanced Equity Derivatives written by Sebastien Bossu and published by John Wiley & Sons. This book was released on 2014-05-05 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.
Book Synopsis The Handbook of Hybrid Securities by : Jan De Spiegeleer
Download or read book The Handbook of Hybrid Securities written by Jan De Spiegeleer and published by John Wiley & Sons. This book was released on 2014-05-19 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics of both, and carry unique risks that cannot be ignored, but are often woefully misunderstood. The first and only book of its kind, The Handbook of Hybrid Securities dispels the many myths and misconceptions about hybrid securities and arms you with a quantitative, practical approach to dealing with them from a valuation and risk management point of view. Describes a unique, quantitative approach to hybrid valuation and risk management that uses new structural and multi-factor models Provides strategies for the full range of hybrid asset classes, including convertible bonds, preferreds, trust preferreds, contingent convertibles, bonds labeled "additional Tier 1," and more Offers an expert review of current regulatory climate regarding hybrids, globally, and explores likely political developments and their potential impact on the hybrid market The most up-to-date, in-depth book on the subject, this is a valuable working resource for traders, analysts and risk managers, and a indispensable reference for regulators
Book Synopsis Hybrid Securities by : Kamil Liberadzki
Download or read book Hybrid Securities written by Kamil Liberadzki and published by Springer. This book was released on 2016-04-08 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hybrid capital securities or 'hybrids' offer various benefits. They offer flexibility equity without shareholder dilution, provide protection to senior creditors, are a stable source of long-term funding for healthy companies, and help insurers and banks meet regulatory and rating agency capital requirements. Risks and features of hybrid securities are expressed in the credit spread of some relatively new financial instruments, but no structural fundamentals exist for to price hybrids precisely. This book proposes a model for the pricing of hybrids. It begins by explaining the concept of hybrids as well as their equity- and debt-like characteristics. Different types of hybrids are presented, including preference shares, convertible bonds, contingent convertibles (CoCos) and bail-in bonds. The authors then present analysis of regulatory regimes' impact on hybrids. They discuss the types of hybrid bonds that are contemplated in the Capital Requirements Regulation (CRR) and Banking Union mechanism. They then present an in-depth examination of hybrids pricing and risk assessment techniques. The book provides a comprehensive analysis from mathematical, legal and financial perspectives in order to look at relatively new financial instruments and address problems with the pricing models of hybrids which are as yet unsolved.
Book Synopsis Handbook of Hybrid Instruments by : Israel Nelken
Download or read book Handbook of Hybrid Instruments written by Israel Nelken and published by John Wiley & Sons. This book was released on 2000-07-26 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: An indispensable tool to steer readers thought the complex maze of hybrid instruments! Hybrid instruments - essentially bonds with an equity component - are found in a multitude of guises. This generic heading encompasses a seemingly endless array of financial instruments, including convertible bonds, mandatory convertibles, reverse convertibles, preferred shares, ELKS, DECS and Lyons. Within each one of these instruments are found a wide range of variations and features. These include reset, negative pledge, screw and forced conversion clauses, as well as step up coupons, call schedules, call options with soft and hard protection etc. The range of possibilities can seem bewildering, but it is this very flexibility which proves a huge attraction for investors, issuers and financial institutions. On the sell side companies issue these securities and corporate service departments advise on the type of options to include in them. On the buy side, investment managers seek to build portfolios with limited risk exposure using these securities and hedge funds utilise arbitrage opportunities between the convertible bond and the common share. The opportunities are endless but the seemingly labyrinthine complexities can prove daunting. The Handbook of Hybrid Instruments helps steer a clear path through the maze. Izzy Nelken has drawn together a team of experts to provide in-depth analysis of many of the key issues that both sellers and buyers require in order to operate effectively and profitably. A general introduction is followed by specific information on key clauses and variations, valuation methods, the impact on a firm's value following the public issuance of convertibles, details on when an issuer should call a convertible and the impact of these provisions on the price, the difficult requirement of input data to make sense of the models, indexes and reset convertibles. Finally, a highly useful glossary is provided of all the key terms used in this field. An analytical CD is also provided with the book, containing sample software of ConvB++. ConvB++ combines complex state of the art models with a simple, user friendly interface to assess fair values prices and to hedge parameters of hybrid instruments. The Handbook of Hybrid Instruments is an indispensable explanatory and analytical tool for all professionals looking for the latest thinking on convertibles from some of the world's leading experts.
Book Synopsis Equity Derivatives by : Neil C Schofield
Download or read book Equity Derivatives written by Neil C Schofield and published by Springer. This book was released on 2017-03-14 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides thorough coverage of the institutional applications of equity derivatives. It starts with an introduction on stock markets' fundamentals before opening the gate on the world of structured products. Delta-one products and options are covered in detail, providing readers with deep understanding of the use of equity derivatives strategies. The book features most of the traded payoffs and structures and covers all practical aspects of pricing and hedging. The treatment of risks is performed in a very intuitive fashion and provides the reader with a great overview of how dealers approach such derivatives. The author also delivers various common sensical reasons on which models to use and when. By discussing equity derivatives in a practical, non–mathematical and highly intuitive setting, this book enables practitioners to fully understand and correctly structure, price and hedge these products effectively, and stand strong as the only book in its class to make these equity-related concepts truly accessible.
Download or read book Equity Derivatives written by and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
