Lien ebook : https://onlinelibrary-wiley-com.ezproxy.univ-catholille.fr/d...

eISBN : 9780470970546

Sommaire :
Part 1. Foundations.
1. Basic Instruments.
2. The World of Structured Products.
3. Vanilla Options.
4. Volatility, Skew and Term Structure.
5. Option Sensitivities : Greeks.
6. Strategies Involving Options.
7 Correlation

Part 2. Exotic derivatives and structured products.
8. Dispersion.
9. Dispersion Options.
10. Barrier Options.
11. Digitals.
12. Autocallable Structures.

Part 3. More on exotic structures.
13. The Cliquet Family.
14. More Cliquets and Related Structures.
15. Mountain Range Options.
16. Volatility Derivatives.

Part 4. Hybrid derivatives and dynamic strategies.
17. Asset Classes (I).
18. Asset Classes (II).
19. Structuring Hybrid Derivatives.
20. Pricing Hybrid Derivatives.
21. Dynamic Strategies and Thematic Indices.

Appendices.

A Models.
A.1 Black–Scholes.
A.2 Local Volatility Models.
A.3 Stochastic Volatility.
A.4 Jump Models.
A.5 Hull–White Interest Rate Model and Extensions.

B Approximations.
B.1 Approximations for Vanilla Prices and Greeks.
B.2 Basket Price Approximation.
B.3 ICBC/CBC Inequality.
B.4 Digitals : Vega and the Position of the Forward.

Langue : Anglais

Collection : FINANCE

Lieu d'édition : TORONTO

Illustration(s) : Graphique(s)

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque