INDICE: Contents Preface Acknowledgements 1 Introduction 2 Conventional Options, Forwards and Greeks 2.1 Call and Put Options and Forwards 2.2 Pricing Calls and Puts 2.3 Implied Volatility 2.4 Determining the Strike of the Forward 2.5 Pricing of Stock Options Including Dividends 2.6 Pricing Options in Terms of the Forward 2.7 Put-Call Parity 2.8 Delta 2.9 Dynamic Hedging 2.10 Gamma 2.11 Vega 2.12 Theta 2.13 Higher Order Derivatives Like Vanna and Vomma 2.14 Options Interest Rate Exposure in Terms of Financing the Delta Hedge 3 Profit on Gamma and Relation to Theta 4 Delta Cash and Gamma Cash 4.1 Example Delta and Gamma Cash 5 Skew 5.1 Reasons for Higher Realised Volatility in Falling Markets 5.2 Skew Through Time: The Term Structure of Skew 5.3 Skew and Its Effect onDelta 5.4 Skew in FX versus Skew in Equity: Smile versus Downward Sloping 5.5Pricing Options Using the Skew Curve 6 Simple Option Strategies 6.1 Call Spread 6.2 Put Spread 6.3 Collar 6.4 Straddle 6.5 Strangle 7 Monte Carlo Processes7.1 Monte Carlo Process Principle 7.2 Binomial Tree versus Monte Carlo Process 7.3 Binomial Tree Example 7.4 The Workings of the Monte Carlo Process 8 Chooser Option 8.1 Pricing Example Simple Chooser Option 8.2 Rationale Behind Chooser Option Strategies 9 Digital Options 9.1 Choosing the Strikes 9.2 The Call Spread as Proxy for the Digital 9.3 Width of the Call Spread versus Gearing 10Barrier Options 10.1 Down-and-In Put Option 10.2 Delta Change over the Barrier for a Down-and-In Put Option 10.3 Factors Influencing the Magnitude of the Barrier Shift 10.4 Delta Impact of a Barrier Shift 10.5 Situations to Buy Shares in Case of a Barrier Breach of a Long Down-and-In Put 10.6 Up-and-Out Call 10.7 Up-and-Out Call Option with Rebate 10.8 Vega Exposure Up-and-Out Call Option 10.9 Up-and-Out Put 10.10 Barrier Parity 10.11 Barrier at Maturity Only 10.12 Skew and Barrier Options 10.13 Double Barriers 11 Forward Starting Options 11.1 Forward Starting and Regular Option Compared 11.2 Hedging the Skew Delta of the Forward Start Option 11.3 The Forward Start Option and the Skew Term Structure 11.4 Analytically Short Skew but Dynamically No Skew Exposure 11.5 Forward Starting Greeks 12 Ladder Options 12.1 Example Ladder Option 12.2 Pricingthe Ladder Option 13 Lookback Options 13.1 Pricing and Gamma Profile of FixedStrike Lookback Options 13.2 Pricing and Risk of a Floating Strike Lookback Option 14 Cliquets 14.1 The Ratchet Option 14.2 Risks of a Ratchet Option 15 Reverse Convertibles 15.1 Example Knock-in Reverse Convertible 15.2 Pricing the Knock-in Reverse Convertible 15.3 Market Conditions for Most Attractive Coupon15.4 Hedging the Reverse Convertible 16 Autocallables 16.1 Example Autocallable Reverse Convertible 16.2 Pricing the Autocallable 16.3 Autocallable Pricingwithout Conditional Coupon 16.4 Interest/Equity Correlation within the Autocallable 17 Callable and Puttable Reverse Convertible 17.1 Pricing the Callable Reverse Convertible 17.2 Pricing the Puttable Reverse Convertible 18 Asian Options 18.1 Pricing the Geometric Asian Out Option 18.2 Pricing the Arithmetic Asian Out Option 18.3 Delta Hedging the Arithmetic Asian Out Option 18.4 Vega, Gamma and Theta of the Arithmetic Asian Out Option 18.5 Delta Hedging the Asian in Option 18.6 Asian in Forward 18.7 Pricing the Asian in Forward 18.8 Asianin Forward with Optional Early Termination 19 Quanto Options 19.1 Pricing andCorrelation Risk of the Option 19.2 Hedging FX Exposure on the Quanto Option 20 Composite Options 20.1 An Example of the Composite Option 20.2 Hedging FX Exposure on the Composite Option 21 Outperformance Options 21.1 Example of an Outperformance Option 21.2 Outperformance Option Described as a Composite Option 21.3 Correlation Position of the Outperformance Option 21.4 Hedging of Outperformance Options 22 Best of andWorst of Options 22.1 Correlation Risk for theBest of Option 22.2 Correlation Risk for the Worst of Option 22.3 Hybrids 23 Variance Swaps 23.1 Variance Swap Payoff Example 23.2 Replicating the VarianceSwap with Options 23.3 Greeks of the Variance Swap 23.4 Mystery of Gamma Without Delta 23.5 Realised Variance Volatility versus Standard Deviation 23.6 Event Risk of a Variance Swap versus a Single Option 23.7 Relation Between Vega Exposure and Variance Notional 23.8 Skew Delta 23.9 Vega Convexity 24 Dispersion 24.1 Pricing Basket Options 24.2 Basket Volatility Derived From Its Constituents 24.3 Trading Dispersion 24.4 Quoting Dispersion in Terms of Correlation 24.5 Dispersion Means Trading a Combination of Volatility and Correlation 24.6 Ratiod Vega Dispersion 24.7 Skew Delta Position Embedded in Dispersion 25 Engineering Financial Structures 25.1 Capital Guaranteed Products 25.2 Attractive Market Conditions for Capital Guaranteed Products 25.3 Exposure Products for the Cautious Equity Investor 25.4 Leveraged Products for the Risk Seeking Investor Appendix A Variance of a Composite Option and Outperformance Option Appendix B Replicating the Variance Swap References Index
- ISBN: 978-0-470-51790-1
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 200
- Fecha Publicación: 22/02/2008
- Nº Volúmenes: 1
- Idioma: Inglés