ID:
13412
Name:
Exotic Options: The State of the Art
Model No:
3
Description:

Published Books

Exotic Options: The State of the Art

Les Clewlow & Chris Strickland

This book brings together leading international experts to provide an authoritative, practical and up-to-date guide to standard exotic options. Note: purchasing is through Amazon.

Les Clewlow and Chris Strickland were the editors of this book which contains contributions by various luminaries in this emerging field.

Book outline

The over-the-counter market in exotic options is continuing to expand both in volume and complexity. However, the benefits can only be realised by those who understand the fundamentals of pricing and hedging the instruments, and the potential risks involved. This book brings together leading international experts to provide an authoritative, practical and up-to-date guide to standard exotic options. Each chapter examines a particular type of option in detail explaining:

  • origins of the instrument
  • uses of the instrument
  • exact continuous time valuation in a Black-Scholes world
  • approximations leading to continuous time valuation
  • numerical approaches to valuation
  • hedging using formulae and numerical methods
  • problem relating the above methods to the real instrument

The book is essential reading for derivatives industry professionals, investors, end users and anyone who requires a clearer practical understanding of these sophisticated instruments.

Contents

1. Introduction

2. Structured Equity Products

3. American Featured Options

4. Asian Options

5. Lookback Options

6. Barrier Options

7. Quanto Structures

8. Pricing Interest Rate Exotics using Term Structure Consistent Short rate Trees

9. Exotic Interest Rate Options

Abstract:

Les Clewlow & Chris Strickland

This book brings together leading international experts to provide an authoritative, practical and up-to-date guide to standard exotic options.
Note: purchasing is through Amazon.

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AUD $0.00
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