000 10512nam a2201285Ia 4500
000 09053cam a2200649 i 4500
001 81107
003 0
005 20250920165138.0
006 m o d
007 cr |||||||||||
008 160105s2016 enk ob 001 0 eng
010 _z
_z
_o
_a2016000332
_b
015 _22
_a
016 _2
_2
_a
_z
020 _e
_e
_a9781118632529 (Adobe PDF);1118632524 (Adobe PDF);9781118632536 (ePub);1118632532 (ePub);1118632621 (hardback);9781118632628 (hardback)
_b
_z9781118632628 (hardback);9781119170433;1119170435
_c
_q
_x
022 _y
_y
_l
_a2
024 _2
_2
_d
_c
_a
_q
028 _a
_a
_b
029 _a
_aDEBSZ;DEBBG;DEBBG
_b461175401;BV043628152;BV043738251
032 _a
_a
_b
035 _a
_a(OCoLC)933866545;(OCoLC)ocn933866545
_b
_z
_c
_q
037 _n
_n
_c
_a
_b
040 _e
_erda
_aDLC
_dYDX;N$T;IDEBK;EBLCP;YDXCP;DG1;OCLCF;DEBSZ;COO;DEBBG;KSU;RECBK
_beng
_cDLC
041 _e
_e
_a
_b
_g
_h
_r
042 _apcc
043 _a
_a
_b
045 _b
_b
_a
049 _aMAIN
050 _a
_aHG6024.A3
_d
_b2
_c0
051 _c
_c
_a
_b
055 _a
_a
_b
060 _a
_a
_b
070 _a
_a
_b
072 _2
_2bisacsh
_d
_aBUS
_x27000
082 _a
_a332.64/57
_d
_b223
_c
084 _2
_2bisacsh
_aBUS027000
086 _2
_2
_a
090 _a
_a
_m
_b
_q
092 _f
_f
_a
_b
096 _a
_a
_b
097 _a
_a
_b
100 _e
_eauthor.
_aQu, Dong,
_d1962-
_b4
_u
_c0
_q16
110 _e
_e
_a
_d
_b
_n
_c
_k
111 _a
_a
_d
_b
_n
_c
130 _s
_s
_a
_p
_f
_l
_k
210 _a
_a
_b
222 _a
_a
_b
240 _s
_s
_a
_m
_g
_n
_f
_l
_o
_p
_k
245 0 _a
_aManufacturing and managing customer-driven derivatives /
_d
_b
_n
_cDong Qu.
_h6
_p
246 _a
_a
_b
_n
_i
_f6
_p
249 _i
_i
_a
250 _6
_6
_a
_b
260 _e
_e
_a
_b
_f
_c
_g
264 _3
_3
_aChichester, West Sussex, United Kingdom :
_d
_bJohn Wiley & Sons,
_c[2016]46
300 _e
_e
_c
_a1 online resource.
_b
310 _a
_a
_b
321 _a
_a
_b
336 _b
_atext
_2rdacontent
337 _3
_30
_b
_acomputer
_2rdamedia
338 _3
_30
_b
_aonline resource
_2rdacarrier
340 _2
_20
_g
_n
344 _2
_2
_a0
_b
347 _2
_2
_a0
362 _a
_a
_b
385 _m
_m
_a2
410 _t
_t
_b
_a
_v
440 _p
_p
_a
_x
_v
490 _a
_aThe Wiley finance series
_x
_v
500 _a
_aMachine generated contents note: Preface Acknowledgments About the Author Part I: Overview of Customer-Driven Derivative Business Chapter 1: Evolving Derivative Business Environment Customer-Driven Derivative Product Categories Lessons in Derivatives & Crises Regulations Affecting Derivative Business Structured Derivative Products Geographic Features Chapter 2: Pillars in Structured Derivative Business Derivative Business Value Chain Model & Product Development Process Product Issuance and Wrapper Product Distribution Chapter 3: Financial Risk Management and Basel III Risk Measures & Financial Rule Books Basel III Technical Requirements Internal Model Method (IMM) Part II: Equity Derivatives Chapter 4: Equity Derivatives Market Features Equity Index Underlyings Discrete Dividends Option Settlement Delay Quanto Effect Future Versus Forward Implied Volatility Surface Chapter 5: Black-Scholes Paradigm Basic Modelling Framework Asian Options Basket Options Dividend Futures & Options American Options Barrier Options Lookback & Hindsight Options Volatility Smile/Skew Dynamics Impact On Hedging Chapter 6: Local Volatility Framework Local Volatility Stripper Local Volatility PDE Solver Local Volatility Monte Carlo Local Volatility to Implied Volatility Practical Issues With Local Volatility Chapter 7: Stochastic Local Volatility Framework Stochastic Volatility Models SLV Model Formulation SLV Numerical Implementation SLV Numerical Results SLV in Practice Chapter 8: Equity Linked Structured Products General Payoff Category Features of Important Structured Product Categories Barrier Reverse Convertibles Constant Proportion Portfolio Insurance (CPPI) Risks During Retail Issuance Period Chapter 9: Basket Option Analysis Basket Option Risks Copula Pricing Models Historic Basket Volatility Surfaces Implied Basket Volatility Surfaces Copula Applications Part III: Interest Rate Derivatives Chapter 10: Multi-Curve Environment & Yield Curve Stripping Multi-Curve Environment Yield Curve Stripping Collateral Impacts Multi-Curve Multi-Facet Reality Chapter 11: Vanilla Interest Rate Options Martingale Pricing Principle Cap/Floor European Swaption & SABR Risk Sensitivities Chapter 12: Practical Interest Rate Derivative Models Key Model Categories Linear Gauss Markov Model Libor Market Model Extended Cheyette Model Local Volatility Model Chapter 13: CMS Replication and CMS Spread Options CMS Convexity CMS Replication CMS Calibration CMS Spread Option Pricing Framework Copula Pricing With Full Market Marginal Distributions CMS Outlook Chapter 14: Interest Rate Derivative Products Product Design & Product Risks Bermudan Swaption Callable Products Other Important Products Part IV: Real Life Options and Derivatives Chapter 15: Long-Dated FX Volatility and Hybrid Risks FX Volatility Surface Extrapolating FX Volatility Term Structure To Long End Extrapolating FX Volatility Smile To Long End Hybrid Optionality PRDC Hybrid Risks Chapter 16: Portfolio CVA: Efficient Numerical Techniques CVA Valuation Implementation Framework Numerical Techniques in Portfolio CVA Valuation Grid Monte Carlo for CVA GMC Implementation Example GMC in Practice Chapter 17: Contingent Convertibles (CoCo) CoCo Features CoCo Categories CoCo Risk Factors Indirect Modelling Approaches Direct Modelling Approaches Chapter 18: Variable Annuity Products Key VA Product Types Major Risk Factors in VA Products Hybrid Pricing Models for VA Products Practicalities of Handling Long-Dated VA Products Importance of Understanding VA Risks Chapter 19: Interest Rate Optionality in Fixed Rate Mortgage Prepayment Optionality Prepayment Risk Characteristics Early Redemption Charge Applying Option Based Prepayment Technique Chapter 20: Real Estate Derivatives Equity Release Scheme and Related Derivatives Mortality in Derivatives Pricing Reversion Derivatives Products Real Estate Portfolio Derivatives Property Linked Roll Up Mortgage HPI Retail Products Appendix A: Product of Two Calls Decomposition Three Key Integrals Analytical Formula Bibliography .
_d
_b
_c56
504 _a
_aIncludes bibliographical references and index.
_x
505 _a
_a
_b
_t
_g
_r
506 _a
_a5
510 _a
_a
_x
520 _b
_b
_cProvided by publisher.;Provided by publisher.
_aManufacturing and Managing Customer-Driven Derivatives Manufacturing and Managing Customer-Driven Derivatives sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners. This authoritative text offers up-to-date knowledge and practices across a broad range of topics that address the entire manufacturing, pricing and risk management process, including practical knowledge and industrial best practices. This resource blends quantitative and business perspectives to provide an in-depth understanding of the derivative risk management skills that are necessary to adopt in the competitive financial industry. Manufacturing and managing customer-driven derivative products have become more complex due to macro factors such as the multi-curve environments triggered by the recent financial crises, stricter regulatory requirements of consistent modelling and managing frameworks, and the need for risk/reward optimisation. Explore the fundamental components of the derivatives business, including equity derivatives, interest rates derivatives, real estate derivatives, and real life derivatives, etc. Examine the life cycle of manufacturing derivative products and practical pricing models Deep dive into a wide range of customer-driven structured derivative products, their investment or hedging payoff features and associated risk exposures Examine the implications of changing regulatory standards, which can increase costs in the banking sector Discover practical yet sophisticated product analysis, quantitative modeling, infrastructure integration, risk analysis, and hedging analysis Gain insight on how banks should handle complex derivatives products Manufacturing and Managing Customer-Driven Derivatives is an essential guide for quants, structurers, derivatives traders, risk managers, business executives, insurance industry professionals, hedge fund managers, academic lecturers, and financial math students who are interested in looking at the bigger picture of the manufacturing, pricing and risk management process of customer-driven derivative transactions--;This book deals with some of the key derivatives products including equity derivatives, mainly used for creating investment products for retail and private investors, interest rates derivatives, used for creating investment and treasury products, real estate derivatives and hybrid derivatives products--
_u
521 _a
_a
_b
533 _e
_e
_a
_d
_b
_n
_c
540 _c
_c
_a5
542 _g
_g
_f
546 _a
_a
_b
583 _5
_5
_k
_c
_a
_b
588 _aDescription based on print version record and CIP data provided by publisher.
590 _a
_a
_b
600 _b
_b
_v
_t
_c2
_q
_a
_x0
_z
_d
_y
610 _b
_b
_v
_t2
_x
_a
_k0
_p
_z
_d6
_y
611 _a
_a
_d
_n2
_c0
_v
630 _x
_x
_a
_d
_p20
_v
648 _2
_2
_a
650 _x
_x
_aDerivative securities.;Investments.;BUSINESS & ECONOMICS / Finance.;Derivative securities.;Investments.
_d
_b
_z
_y
_2bisacsh;fast;fast
_0(OCoLC)fst00891019;(OCoLC)fst00978234
_v
651 _x
_x
_a
_y20
_v
_z
655 _0
_0
_aElectronic books.
_y2
_z
700 _i
_i
_t
_c
_b
_s1
_q
_f
_k40
_p
_d
_e
_a
_l
_n6
710 _b
_b
_t
_c
_e
_f
_k40
_p
_d5
_l
_n6
_a
711 _a
_a
_d
_b
_n
_t
_c
730 _s
_s
_a
_d
_n
_p
_f
_l
_k
740 _e
_e
_a
_d
_b
_n
_c6
753 _c
_c
_a
767 _t
_t
_w
770 _t
_t
_w
_x
773 _a
_a
_d
_g
_m
_t
_b
_v
_i
_p
775 _t
_t
_w
_x
776 _s
_s
_aQu, Dong, 1962- author.
_dChichester, West Sussex, United Kingdom : John Wiley & Sons, [2016]
_b
_z9781118632628
_iPrint version:
_tManufacturing and managing customer-driven derivatives
_x
_h
_c
_w(DLC) 2015042377
780 _x
_x
_a
_g
_t
_w
785 _t
_t
_w
_a
_x
787 _x
_x
_d
_g
_i
_t
_w
800 _a
_a
_d
_l
_f
_t0
_q
_v
810 _a
_a
_b
_f
_t
_q
_v
830 _x
_x
_aWiley finance series.
_p
_n
_l0
_v
942 _a
_alcc
_cBK
999 _c14970
_d14970