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Derivatives Trading and Option Pricing

Derivatives Trading and Option Pricing

Author: Nicholas Dunbar
Publisher: Risk Books
ISBN: 9781904339380
Published In: May 2005
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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An important collection of cutting edge technical papers that brings together both recent and vintage work on quantitative finance.

With 22 valuable technical papers distilled from the pages of Risk magazine over recent years, this title collates the latest techniques in options pricing in credit, equity and interest rates markets - with a special emphasis on how these are being applied to profitable quantitative trading strategies. Edited and introduced by Nicholas Dunbar, the technical editor of Risk magazine, this collection truly represents the cutting edge in derivatives markets. A must for every dealer.

Benefit from the experience of the most ground-breaking names in quantitative finance, such as Alexander Lipton, Peter Carr, Leif Andersen, Jesper Andreasen, Philipp Schoenbucher and many more.
Three main sections cover:
Generic option pricing - including modelling and pricing analysis that cuts across a range of asset classes and provides you with solutions to several important challenges
Pricing problems in credit, equities and interest rates - this section presents papers with a pricing focus in the asset classes of credit, equities and interest rates
Market analysis and quantitative trading - focusing on this area of growing importance
Includes 22 papers representing the best work by Risk magazine’s diverse contributor base - including several significant contributions to the literature on quantitative finance and much of the latest academic research developments in the field.
Additionally covers: basket options, credit derivatives, equity derivatives, interest rates, new products, programme trading.
Introduced by Nicholas Dunbar, Risk magazine Technical Editor, who provides an informative overview and binding the collection together and outlining the significance of the subject area today.
An additional postscript by Stephen Blyth of Deutsche Bank provides incisive commentary on current market developments and makes a strong case for new thinking in the quant community.
Fresh and instructive guidance enables you to easily compare risks and risk management strategies applied to many different asset classes.

Introduction

Nicholas Dunbar

Risk

SECTION 1: GENERIC OPTION PRICING

1 Assets with Jumps

Alexander Lipton

Citadel Investment Group

2 Why Be Backward?

Peter Carr; Ali Hirsa

New York University; Caspian Capital Management

3 Corridor Variance Swaps

Peter Carr; Keith A. Lewis

New York University; Independent Consultant

4 What’s a Basket Worth?

Peter Laurence; Tai-Ho Wang

University of Rome; National Chung Cheng University

5 Unifying Volatility Models

Claudio Albanese; Alexey Kuznetsov

University of London; McMaster University

6 Smile at the Uncertainty

Damiano Brigo, Fabio Mercurio, Francesco Rapisarda

Banca IMI

7 Local Cross-entropy

David Edelman

University College Dublin

SECTION 2: PRICING PROBLEMS IN CREDIT, EQUITIES AND INTEREST RATES

8 I Will Survive

Jon Gregory, Jean-Paul Laurent

BNP Paribas

9 All Your Hedges in One Basket

Leif Andersen, Jakob Sidenius; Susanta Basu

Banc of America Securities; Och-Ziff Capital Management

10 A Measure of Survival

Philipp J. Schönbucher

ETH Zurich

11 Market Models for CDS Options and Callable Floaters

Damiano Brigo

Banca IMI

12 Index Volatility Surface via Moment-Matching Techniques

Peter Lee; Limin Wang; Abdelkerim Karim

Lehman Brothers; Credit Suisse First Boston; Lehman Brothers

13 Smile Dynamics

Lorenzo Bergomi

Société Générale

14 Volatile Volatilities

Leif Andersen; Jesper Andreasen

Banc of America Securities; Nordea Markets

15 Swap Vega in BGM: Pitfalls and Alternatives

Raoul Pietersz; Antoon Pelsser

ABN Amro; ING Group Risk Management

16 Black Smirks

Fei Zhou

Lehman Brothers

17 Correlating Market Models

Bruce Choy; Tim Dun; Erik Schlögl

Commonwealth Bank of Australia; ANZ Risk Management; University of Technology

SECTION 3: MARKET ANALYSIS AND QUANTITATIVE TRADING

18 Bidding Principles

Robert Almgren; Neil Chriss

University of Toronto; SAC Capital

19 Practical Relative-value Volatility Trading

Stephen Blyth

Deutsche Bank

20 Arbitrage Under Power

Michael Boguslavsky; Elena Boguslavskaya

ABN Amro; University of Amsterdam

21 Component Proponents II

Christophe Pérignon; Christophe Villa

Simon Fraser University; ENSAI

22 Excess Yields in Bond Hedging

Haim Reisman, Gady Zohar

Technion

Age of Reason or Age of Procedure?

Stephen Blyth

Deutsche Bank

Nicholas Dunbar has been the London-based technical editor of Risk magazine since 1998. Prior to this he was a staff writer at Futures and Options World magazine. In January 2000 he published Inventing Money: the story of Long-Term Capital Management and the legends behind it, which has been translated into five languages.

He has written widely for Risk on derivatives and risk management, and also does consulting and public speaking on these subjects. In addition, he contributes opinion articles for Breakingviews.com and has appeared as a commentator on risk management issues for a range of newspapers, TV and radio.

Nicholas studied physics as an undergraduate at Manchester University, and subsequently gained postgraduate qualifications in theoretical physics at Cambridge and Harvard universities.