Demystifying Exotic Products – Interest Rates, Equities and Foreign Exchange

Name: Demystifying Exotic Products – Interest Rates, Equities and Foreign Exchange
Author: Chia (Dresdner Kleinwort) Tan

Interest Rates, Equities and Foreign Exchange

Gebonden Engels 2009 9780470748152

73,37

In winkelwagen

Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

One reason for financial crises is investors misusing and misunderstanding exotic products. Proper understanding of exotic structures might have helped.
Demystifying Exotic Products contains the fundamentals on exotic products in relation to Interest rates, equity and FX exotics. This practical guidebook discusses how the product is structured, exists, works, as well as the risks involved, focusing on the essential information, like warning signs and aspects of a complex derivative. This reference equips investors with the proper understanding to make informed decisions.

Specificaties

ISBN13:9780470748152

Taal:Engels

Bindwijze:gebonden

Aantal pagina's:272

Uitgever:John Wiley & Sons

Hoofdrubriek:Financieel management, Financieel management

Serie:The Wiley Finance Series

Lezersrecensies

Wees de eerste die een lezersrecensie schrijft!

Schrijf een recensie

Uw cijfer

?

Log in om te stemmen

Inhoudsopgave

Foreword.
Preface.
Acknowledgements.
Notes.
1 Derivatives in their Golden Days (1994 to 2007).
1.1 Uses of Derivatives.
1.2 Structured Notes.
2 Themes in Constructing Exotic Products.
2.1 Principal Protection.
2.2 Upside–Only Participation.
2.3 Protected Selling of Optionality for Yield.
2.4 Betting Against the Forward Curve.
2.5 Diversification.
2.6 Some Considerations in Hedging.
3 Basics of Derivatives.
3.1 The Forward Contract.
3.2 The Plain Vanilla Option.
3.3 No–Arbitrage Pricing.
3.4 The Black Scholes Model.
3.5 The Volatility Surface.
3.6 Correlation.
3.7 Modelling Considerations.
4 Barriers.
4.1 Digitals.
4.2 Knockouts and Reverse Knockouts.
4.3 One–Touches and No–Touches.
4.4 Double Barriers and More.
5 Quantoes.
5.1 Some Motivation.
5.2 Multi–Currency Products.
5.3 Non–Deliverable Products.
5.4 Self–Quantoes (Auto–Quantoes).
5.5 Quantoes.
6 Swaps, Constant Maturity Swaps and Spreads.
6.1 The Swap.
6.2 Natural Payment Time and the Libor–in–Arrears.
6.3 The Swaption.
6.4 The Constant Maturity Swap.
6.5 Spread between Two CMS Rates.
6.6 Callable CMS.
7 Range Accruals.
7.1 Motivation.
7.2 Single Reference Accruals.
7.3 Multiple Reference Accruals.
8 Early Termination.
8.1 The Mindset of a Benchmark Investor.
8.2 Callables.
8.3 Triggers (Autocalls).
8.4 The Target Redemption Note.
8.5 Puttables.
8.6 Early Termination and Contingent Cashflows.
9 Pathwise Accumulators.
9.1 The One–Way Floater.
9.2 Skylines.
9.3 Snowballs.
10 Power Reverse Dual Currencies.
10.1 The Carry Trade.
10.2 Long–Dated Foreign Exchange.
10.3 Normal PRDCs.
10.4 The Redemption Strike.
10.5 Chooser PRDCs.
11 Baskets and Hybrids.
11.1 Baskets and the Benign Effect of Averaging.
11.2 Hybrid Baskets.
11.3 Best of Products and Hybrids.
11.4 Hybrids and Conditional Coupons.
11.5 Multiplying Assets.
12 Some Exotic Equity Products.
12.1 A Historical Perspective.
12.2 The Cliquet.
12.3 The Himalaya.
12.4 The Altiplano.
12.5 The Atlas.
12.6 The Everest.
12.7 Principal Protection or Lack Thereof.
13 Volatility and Correlation Products.
13.1 Variance and Volatility Swaps.
13.2 Options on Variance Swaps.
13.3 Correlation Swaps.
14 Fund Derivatives.
14.1 Fund Derivatives Products.
14.2 Constant Proportion Portfolio Insurance.
14.3 The Ideal Underlying Fund.
15 The Products Post–2008.
15.1 The Products Likely to Survive the Credit Crunch.
15.2 Incorporating Some Lessons Learned.
15.3 Credit Considerations.
Some Final Thoughts.
Glossary.
Appendices.
Bibliography.
Index.