Pricing and Managing Exotic and Hybrid Options provides detailed, fully supported explanations of how these instruments are priced, and state-of-the-art ways to manage them in a multidimensional portfolio. Citibank trader and risk manager Vineer Bhansali provides detailed examples of risk management instruments from the synthesis of major market classes.
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A rigorous approach to the pricing and managing of exotics
The book is intended to be a serious introduction to the frameworks and methods behind pricing and managing exotic and hybrid options in the market. The validity of generally accepted methods is derived from first principles. Also, the appendices should prove as valuable reference material for practitioners who don't shy away from mathematical detail. The approach is likely to be of interest to both active managers of large portfolios and academics who are interested in the frontiers of strucutured products. Numerous new approaches to measurement and use of correlation should also be of interest to the audience. The approach is not only used by the leading derivatives houses, but also endorsed by their research teams.
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Book Description McGraw-Hill Companies, 1998. Hardcover. Book Condition: New. book. Bookseller Inventory # 0070066698
Book Description McGraw-Hill Companies, 1998. Hardcover. Book Condition: New. Bookseller Inventory # DADAX0070066698
Book Description McGraw-Hill Companies, 1998. Hardcover. Book Condition: New. Bookseller Inventory # P110070066698
Book Description McGraw-Hill Companies. Hardcover. Book Condition: New. 0070066698 New Condition. Bookseller Inventory # NEW4.0022420