Structured Products
Structured Products
Dilip Madan
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Edited by Dilip Madan, the leading expert in the structured products field, this collection of technical papers on this complex area is the third book in the new Cutting Edge series.
Structured Products is split into four arenas:
* Equity Product Designs
* Volatility Products
* Options on Baskets
* Calibration considerations
The selection of papers offers in depth descriptions of new products arising from a variety of sources including investor interest and the hedging capability for the seller and is recommended reading for anyone working in structured products, equity markets and asset managers. It will be of interest to anyone attempting to grasp the complexity and technical issues surrounding structured products.
Also available in the Risk Books Cutting Edge series:
Theory and Practice of Credit Risk Modelling, introduced by Alexander Lipton
Portfolio Managment, introduced by Bernd Scherer
Risk Cutting Edge series:
The Risk Books Cutting Edge Series is a new series that presents key technical papers drawn from the Cutting Edge section of Risk.net, the world’s leading financial risk management magazine. Each volume provides an introduction from an industry expert, and explores how academic thinking has developed over the years, how market applications and practitioner usage has evolved, and future developments in the field.
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About the Author
Table of contents
Preface
About the Editor
About the Authors
Introduction
Dilip Madan
PART I EQUITY PRODUCT DESIGNS
1 Disease or Cure?
Robert Jarrow and Donald van Deventer
2 Steps to the Barrier
Vadim Linetsky
3 Static Barriers
Leif Andersen; Jesper Andreasen
4 Himalaya Options
Marcus Overhaus
5 New Products, New Risks
Richard Quessette
6 Maximum Draw-Down and Directional Trading
Jan Vecer
7 Information Derivatives
Andrei Soklakov
8 A Short Cut to the Rainbow
Per Hörfelt
PART II VOLATILITY PRODUCTS
9 Introducing the Covariance Swap
Peter Carr; Dilip Madan
10 Realised Volatility and Variance: Options via Swaps
Peter Carr; Roger Lee
11 Variance Swaps under No Conditions
Artur Sepp
12 Corridor Variance Swaps
Peter Carr; Keith Lewis
13 Variance Swaps and Non-constant Vega
David Kuenzi
14 Smile Dynamics
Lorenzo Bergomi
15 Smile Dynamics II
Lorenzo Bergomi
PART III OPTIONS ON BASKETS
16 What Is a BasketWorth?
Peter Laurence; Tai-Ho Wang
17 Index Volatility Surface via Moment-Matching Techniques
Peter Lee, Limin Wang and Abdelkerim Karim
18 Reconstructing Volatility
Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca and Peter Friz
PART IV CALIBRATION CONSIDERATIONS
19 Exotic Spectra
Vadim Linetsky
20 Markovian Projection for Volatility Calibration
Vladimir Piterbarg
21 Calibrating and Pricing with Embedded Local Volatility Models
Yong Ren; Dilip Madan; Michael Qian Qian