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Demystifying exotic products : interest rates, equities and foreign exchange

Demystifying exotic products : interest rates, equities and foreign exchange (3회 대출)

자료유형
단행본
개인저자
Tan, Chia Chiang.
서명 / 저자사항
Demystifying exotic products : interest rates, equities and foreign exchange / Chia Chiang Tan.
발행사항
Chichester ; Hoboken, NJ :   John Wiley & Sons ,   2010.  
형태사항
xviii, 254 p. : ill. ; 25 cm.
ISBN
9780470748152
서지주기
Includes bibliographical references and index.
일반주제명
Exotic options (Finance)
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001 000045591710
005 20100511170134
008 100510s2010 enka b 001 0 eng d
010 ▼a 2009041486
020 ▼a 9780470748152
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HG6024.A3 ▼b T326 2010
082 0 0 ▼a 332.64/53 ▼2 22
090 ▼a 332.6453 ▼b T161d
100 1 ▼a Tan, Chia Chiang.
245 1 0 ▼a Demystifying exotic products : ▼b interest rates, equities and foreign exchange / ▼c Chia Chiang Tan.
260 ▼a Chichester ; Hoboken, NJ : ▼b John Wiley & Sons , ▼c 2010.
300 ▼a xviii, 254 p. : ▼b ill. ; ▼c 25 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Exotic options (Finance)
945 ▼a KLPA

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.6453 T161d 등록번호 121194394 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Foreword.

Preface.

Acknowledgements.

Notes.

1 Derivatives in their Golden Days (1994 to 2007).

1.1 Uses of Derivatives.

1.2 Structured Notes.

2 Themes in Constructing Exotic Products.

2.1 Principal Protection.

2.2 Upside-Only Participation.

2.3 Protected Selling of Optionality for Yield.

2.4 Betting Against the Forward Curve.

2.5 Diversification.

2.6 Some Considerations in Hedging.

3 Basics of Derivatives.

3.1 The Forward Contract.

3.2 The Plain Vanilla Option.

3.3 No-Arbitrage Pricing.

3.4 The Black–Scholes Model.

3.5 The Volatility Surface.

3.6 Correlation.

3.7 Modelling Considerations.

4 Barriers.

4.1 Digitals.

4.2 Knockouts and Reverse Knockouts.

4.3 One-Touches and No-Touches.

4.4 Double Barriers and More.

5 Quantoes.

5.1 Some Motivation.

5.2 Multi-Currency Products.

5.3 Non-Deliverable Products.

5.4 Self-Quantoes (Auto-Quantoes).

5.5 Quantoes.

6 Swaps, Constant Maturity Swaps and Spreads.

6.1 The Swap.

6.2 Natural Payment Time and the Libor-in-Arrears.

6.3 The Swaption.

6.4 The Constant Maturity Swap.

6.5 Spread between Two CMS Rates.

6.6 Callable CMS.

7 Range Accruals.

7.1 Motivation.

7.2 Single Reference Accruals.

7.3 Multiple Reference Accruals.

8 Early Termination.

8.1 The Mindset of a Benchmark Investor.

8.2 Callables.

8.3 Triggers (Autocalls).

8.4 The Target Redemption Note.

8.5 Puttables.

8.6 Early Termination and Contingent Cashflows.

9 Pathwise Accumulators.

9.1 The One-Way Floater.

9.2 Skylines.

9.3 Snowballs.

10 Power Reverse Dual Currencies.

10.1 The Carry Trade.

10.2 Long-Dated Foreign Exchange.

10.3 Normal PRDCs.

10.4 The Redemption Strike.

10.5 Chooser PRDCs.

11 Baskets and Hybrids.

11.1 Baskets and the Benign Effect of Averaging.

11.2 Hybrid Baskets.

11.3 “Best of” Products and Hybrids.

11.4 Hybrids and Conditional Coupons.

11.5 Multiplying Assets.

12 Some Exotic Equity Products.

12.1 A Historical Perspective.

12.2 The Cliquet.

12.3 The Himalaya.

12.4 The Altiplano.

12.5 The Atlas.

12.6 The Everest.

12.7 Principal Protection or Lack Thereof.

13 Volatility and Correlation Products.

13.1 Variance and Volatility Swaps.

13.2 Options on Variance Swaps.

13.3 Correlation Swaps.

14 Fund Derivatives.

14.1 Fund Derivatives Products.

14.2 Constant Proportion Portfolio Insurance.

14.3 The Ideal Underlying Fund.

15 The Products Post-2008.

15.1 The Products Likely to Survive the Credit Crunch.

15.2 Incorporating Some Lessons Learned.

15.3 Credit Considerations.

Some Final Thoughts.

Glossary.

Appendices.

Bibliography.

Index.


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