Exotic options trading / Frans de Weert.

Format:

Book

Author/Creator:

De Weert, Frans.

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Exotic options (Finance).

Physical Description:

1 online resource (204 p.)

Edition:

1st ed.

Place of Publication:

Chichester, England ; Hoboken, NJ : John Wiley & Sons, c2008.

Language Note:

English

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. By giving readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options. De Weert begins by explaining the risks associated with trading an exotic option before dissecting these risks through a detailed analysis of the actual economics and Greeks rather than solely stating the mathematical formu

Contents:

Exotic Options Trading; Contents; Preface; Acknowledgements; 1 Introduction; 2 Conventional Options, Forwards and Greeks; 3 Profit on Gamma and Relation to Theta; 4 Delta Cash and Gamma Cash; 5 Skew; 6 Simple Option Strategies; 7 Monte Carlo Processes; 8 Chooser Option; 9 Digital Options; 10 Barrier Options; 11 Forward Starting Options; 12 Ladder Options; 13 Lookback Options; 14 Cliquets; 15 Reverse Convertibles; 16 Autocallables; 17 Callable and Puttable Reverse Convertibles; 18 Asian Options; 19 Quanto Options; 20 Composite Options; 21 Outperformance Options; 22 Best of and Worst of Options

23 Variance Swaps24 Dispersion; 25 Engineering Financial Structures; Appendix A Variance of a Composite Option and Outperformance Option; Appendix B Replicating the Variance Swap; Bibliography; Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [175]) and index.

ISBN:

9786611320690

9781119208730

1119208734

9781281320698

1281320692

9780470756317

0470756314

OCLC:

244442527