Pricing and Managing Exotic and Hybrid Options (Irwin Library of Investment & Finance) - Hardcover

Bhansali, Vineer

Hardcover

ISBN 10: 0070066698 ISBN 13: 9780070066694

Publisher: McGraw-Hill Inc.,US, 1998

Synopsis

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.

About this title

From the Author:

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.

Synopsis:

Introduces a number of methodologies for pricing, trading, and managing modern derivative products that derive a significant proportion of their value from correlation and volatility. Emphasizing general principles and frameworks for managing a number of different exotic contracts, the author embraces practical and tested techniques that not only p

About this edition

• Publisher: McGraw-Hill Inc.,US
• Publication date: 1998
• ISBN 10: 0070066698
• ISBN 13: 9780070066694
• Binding: Hardcover
• Number of pages: 300