Exotic Options

Name: Exotic Options
Brand: Risk Books
SKU: 9781904339090
Price: 1860.00 HKD
Availability: OutOfStock
Author: Alexander Lipton
ISBN: 9781904339090

By Alexander Lipton

Risk Books April 2003

Specifications

ISBN-13: 9781904339090
Publisher: Risk Books
Publication: April 2003
Format: Paperback
Jurisdiction: International ? Countri(es) for reference only

Details

Brings to hand the very greatest authorities on exotic options modelling, pricing and hedging to arm you with all the necessary knowledge and practical ability you need to master these techniques.

Provides all the insight and explanation you need in order to understand and apply all recent methodologies in the area of exotic options pricing and hedging
Allows you to closely follow various cutting-edge products and methodologies that significantly extend the Black-Scholes framework
Presents models and techniques that have explicit practical as well as theoretical value
Edited collection of 42 articles compiled from Risk magazine featuring contributions from the top names in the field including: Peter Carr, Emanuel Derman, Claudio Albanese and Dilip Madan

Volatility I: Quantitative and Qualitative Description

Correcting Black-Scholes

Michael Kamal and Emanuel Derman

Regimes of Volatility

Emanuel Derman

If the skew fits

Gregory Brown and Curt Randall

Uncertain volatility

Terry Lyons and Adam T Smith

Jumping smiles

Leif Andersen and Jesper Andreasen

Calibrating Random Volatility

Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar

A mixed up smile

Damiano Brigo and Fabio Mercurio

A fair value for the skew

Joe Zou and Emmanuel Derman

Principles of the skew

Carol Alexander

Crises and Volatility

Allan Malz

The vol smile problem

Alexander Lipton

Trees from history

Nusrat Cakici and Kevin Foster

Reconstructing volatility

M.Avellaneda, Dash Boyer-Olson, Peter Friz and Jerome Busca

Volatile volatilities

Leif Andersen and Jesper Andreasen

Volatility II: Vol Swaps

Introducing the covariance swap

Peter Carr and Dilip Madan

A guide to variance swaps

Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou

Market risk of variance swaps

Neil Chriss and William Morokoff

Volatility Swaps Made Simple

Oliver Brockhaus and Douglas Long

Exotic Options: Products and Methods

Similarities via self-similarities

Alexander Lipton

Pricing exotics under the smile

Klaus Said

Upgrading your passport

Jan Vecer and Steven Shreve

Going with the flow

Peter Carr, Alexander Lipton and Dilip Madan

Static barriers

Leif Andersen and Jesper Andreasen

Jumping in line

Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov

Hedge your Monte Carlo

Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic

Behind the Mirror

Jesper Andreasen

Black-Scholes goes hypergeometric

Claudio Albanese, Guiseppe Campolieti, Peter Carr and Alexander Lipton

New products, new risks

Richard Quessette

Himalaya Options

Marcus Overhaus

Exotic Spectra

Vadim Linetsky

Universal barriers

Alexander Lipton and William McGhee

Unified Asian pricing

Jan Vecer

Assets with jumps

Alexander Lipton

Why Be Backward?

Peter Carr and Ali Hirsa

Exotic Underlyers

Hedging under asymmetry

Angelo Arvanitis and Jean-Michel Lasry

Insurance Optional

Claudio Giraldi, Gabriele Susinno, Giacomo Berti, John Brunello, Silvia Buttarazzi, Gianluca Cenciarelli, Carlo Daroda and Giuseppe Stamegna

Pricing the Weather

Melanie Cao and Jason Wei

Hedging electoral risk

Steve Kou and Michel Sobel

Plugging into electricity

Helyette Geman and Oldrich Vasicek

Mean-reverting Smiles

Alain Chebanier and David Beaglehole

Substitute Hedging

Vicky Henderson and David Hobson

A Two-factor mean-reverting model

David Beaglehole and Alain Chebanier

About the Author

Alexander Lipton

Alex Lipton is a Managing Director and Global Head of Credit Analytics at Merrill Lynch, and a Visiting Professor of Mathematics at Imperial College London. Prior to his current role, he was a Managing Director and Head of Credit Analytics at Citadel Investment Group in Chicago; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Previously, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from Lomonosov Moscow State University. His current interests include credit correlation and related topics, quantitative aspects of securitization, as well as technical trading strategies. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of two more. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. Alex has given dozens of invited lectures at leading universities worldwide.