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Exotic options trading

Author: Frans De Weert
Publisher: Chichester, England ; Hoboken, NJ : John Wiley & Sons, ©2008.
Series: Wiley finance series
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

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.

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Frans De Weert
ISBN: 9780470517901 0470517905
OCLC Number: 180753334
Description: xii, 188 pages : illustrations ; 24 cm.
Contents: ContentsPrefaceAcknowledgements1 Introduction2 Conventional Options, Forwards and Greeks2.1 Call and Put Options and Forwards2.2 Pricing Calls and Puts2.3 Implied Volatility2.4 Determining the Strike of the Forward2.5 Pricing of Stock Options Including Dividends2.6 Pricing Options in Terms of the Forward2.7 Put-Call Parity2.8 Delta2.9 Dynamic Hedging2.10 Gamma2.11 Vega2.12 Theta2.13 Higher Order Derivatives Like Vanna and Vomma2.14 Option's Interest Rate Exposure in Terms of Financing the Delta Hedge3 Profit on Gamma and Relation to Theta4 Delta Cash and Gamma Cash4.1 Example Delta and Gamma Cash5 Skew5.1 Reasons for Higher Realised Volatility in Falling Markets5.2 Skew Through Time: 'The Term Structure of Skew'5.3 Skew and Its Effect on Delta5.4 Skew in FX versus Skew in Equity: 'Smile versus Downward Sloping'5.5 Pricing Options Using the Skew Curve6 Simple Option Strategies6.1 Call Spread6.2 Put Spread6.3 Collar6.4 Straddle6.5 Strangle7 Monte Carlo Processes7.1 Monte Carlo Process Principle7.2 Binomial Tree versus Monte Carlo Process7.3 Binomial Tree Example7.4 The Workings of the Monte Carlo Process8 Chooser Option8.1 Pricing Example Simple Chooser Option8.2 Rationale Behind Chooser Option Strategies9 Digital Options9.1 Choosing the Strikes9.2 The Call Spread as Proxy for the Digital9.3 Width of the Call Spread versus Gearing10 Barrier Options10.1 Down-and-In Put Option10.2 Delta Change over the Barrier for a Down-and-In Put Option10.3 Factors Influencing the Magnitude of the Barrier Shift10.4 Delta Impact of a Barrier Shift10.5 Situations to Buy Shares in Case of a Barrier Breach of a Long Down-and-In Put10.6 Up-and-Out Call10.7 Up-and-Out Call Option with Rebate10.8 Vega Exposure Up-and-Out Call Option10.9 Up-and-Out Put10.10 Barrier Parity10.11 Barrier at Maturity Only10.12 Skew and Barrier Options10.13 Double Barriers11 Forward Starting Options11.1 Forward Starting and Regular Option Compared11.2 Hedging the Skew Delta of the Forward Start Option11.3 The Forward Start Option and the Skew Term Structure11.4 Analytically Short Skew but Dynamically No Skew Exposure11.5 Forward Starting Greeks12 Ladder Options12.1 Example Ladder Option12.2 Pricing the Ladder Option13 Lookback Options13.1 Pricing and Gamma Profile of Fixed Strike Lookback Options13.2 Pricing and Risk of a Floating Strike Lookback Option14 Cliquets14.1 The Ratchet Option14.2 Risks of a Ratchet Option15 Reverse Convertibles15.1 Example Knock-in Reverse Convertible15.2 Pricing the Knock-in Reverse Convertible15.3 Market Conditions for Most Attractive Coupon15.4 Hedging the Reverse Convertible16 Autocallables16.1 Example Autocallable Reverse Convertible16.2 Pricing the Autocallable16.3 Autocallable Pricing without Conditional Coupon16.4 Interest/Equity Correlation within the Autocallable17 Callable and Puttable Reverse Convertible17.1 Pricing the Callable Reverse Convertible17.2 Pricing the Puttable Reverse Convertible18 Asian Options18.1 Pricing the Geometric Asian Out Option18.2 Pricing the Arithmetic Asian Out Option18.3 Delta Hedging the Arithmetic Asian Out Option18.4 Vega, Gamma and Theta of the Arithmetic Asian Out Option18.5 Delta Hedging the Asian in Option18.6 Asian in Forward18.7 Pricing the Asian in Forward18.8 Asian in Forward with Optional Early Termination19 Quanto Options19.1 Pricing and Correlation Risk of the Option19.2 Hedging FX Exposure on the Quanto Option20 Composite Options20.1 An Example of the Composite Option20.2 Hedging FX Exposure on the Composite Option21 Outperformance Options21.1 Example of an Outperformance Option21.2 Outperformance Option Described as a Composite Option21.3 Correlation Position of the Outperformance Option21.4 Hedging of Outperformance Options22 Best of andWorst of Options22.1 Correlation Risk for the Best of Option22.2 Correlation Risk for the Worst of Option22.3 Hybrids23 Variance Swaps23.1 Variance Swap Payoff Example23.2 Replicating the Variance Swap with Options23.3 Greeks of the Variance Swap23.4 Mystery of Gamma Without Delta23.5 Realised Variance Volatility versus Standard Deviation23.6 Event Risk of a Variance Swap versus a Single Option23.7 Relation Between Vega Exposure and Variance Notional23.8 Skew Delta23.9 Vega Convexity24 Dispersion24.1 Pricing Basket Options24.2 Basket Volatility Derived From Its Constituents24.3 Trading Dispersion24.4 Quoting Dispersion in Terms of Correlation24.5 Dispersion Means Trading a Combination of Volatility and Correlation24.6 Ratio'd Vega Dispersion24.7 Skew Delta Position Embedded in Dispersion25 Engineering Financial Structures25.1 Capital Guaranteed Products25.2 Attractive Market Conditions for Capital Guaranteed Products25.3 Exposure Products for the Cautious Equity Investor25.4 Leveraged Products for the Risk Seeking InvestorAppendix A Variance of a Composite Option and Outperformance OptionAppendix B Replicating the Variance SwapReferencesIndex.
Series Title: Wiley finance series
Responsibility: Frans de Weert.
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