Equity derivatives and hybrids : markets, models and methods

XVI, 287 S.

graph. Darst.

Includes index

Machine generated contents note:1 Empirical Evidence -- 1.1 Distribution -- 1.2 Drift -- 1.3 Autocorrelation -- 1.4 Jumps -- 2 Equity Derivatives Market -- 2.1 Underlyings -- 2.2 Dividends -- 2.3 Repo Rate -- 2.4 Delta One Products -- 2.5 Vanilla Options -- 3 Exotic Equity Derivatives -- 3.1 Barriers -- 3.2 Cliquets -- 3.3 Asians -- 3.4 Compound -- 3.5 Lookback -- 3.6 Autocallable -- 3.7 Volatility Products -- 3.8 Multi Asset Products -- 3.9 Dynamic Strategies -- 3.10 Dividend Products -- 4 Implied Volatility -- 4.1 Skew Parameterization -- 4.2 Tail Behaviour -- 4.3 Time Dependence -- 5 Dividends -- 5.1 Forward -- 5.2 Proportional Dividends -- 5.3 Deterministic Dividends -- 5.4 Affine Models -- 5.5 Dividend Discount Models -- 5.6 Stochastic Dividend Yield -- 5.7 Stochastic Hazard And Interest Rates -- 5.8 Variance Swap -- 6 Short Volatility Models -- 6.1 Local Volatility -- 6.2 Stochastic Volatility -- 6.3 Local Stochastic Volatility -- 6.4 Jump Diffusion -- 6.5 Non-Markovian Models -- 6.6 Calibration And Hedging Stochastic Volatility -- 7 Implied Volatility Dynamics -- 7.1 Implied Volatility Delta -- 7.2 Forward Volatility -- 7.3 Modelling Implied Volatility -- 7.4 Discrete Time Models -- 8 Correlation -- 8.1 Implied Correlation -- 8.2 Correlation Term Structure -- 8.3 Decorrelation -- 8.4 Langnau's Local Correlation -- 8.5 Stochastic Correlation -- 9 Copulas -- 9.1 Definition -- 9.2 Dependence Measures -- 9.3 Archimedean Copulas -- 9.4 Marshall-Olkin Copula -- 9.5 T-Copula -- 9.6 Factor Copula -- 9.7 Convex Combination -- 9.8 Model Independent Arbitrage Bounds -- 9.9 Gauss Copula Model -- 10 Fixed Income -- 10.1 Market -- 10.2 Short Rate -- 10.3 Heath-Jarrow-Morton -- 10.4 Hull-White -- 10.5 Cox-Ingersoll-Ross -- 10.6 Markov Functional -- 11 Equity-Interest Rate Hybrids -- 11.1 Constant Equity Volatility -- 11.2 Gauss Copula -- 11.3 Local Equity Volatility -- 11.4 Stochastic Equity Volatility -- 11.5 Dynamic Hedging Of Variance Swaps -- 12 Credit -- 12.1 Market -- 12.2 Reduced Form Models -- 12.3 Structural Models -- 12.4 Portfolio Credit Derivatives -- 13 Defaultable Equity -- 13.1 Reduced Form Models -- 13.2 Structural Models -- 14 Counterparty Credit Risk -- 14.1 Sources Of Credit Risk -- 14.2 Credit Valuation Adjustment -- 14.3 Wrong Way Risk -- 14.4 Structural Models -- 14.5 Reduced Form Models -- 14.6 Funding Valuation Adjustment -- 15 Foreign Exchange -- 15.1 Cross Currency Basis Swap -- 15.2 Market Smile -- 15.3 Vanna-Volga Approach -- 15.4 Models -- 15.5 Quanto Options -- 15.6 Government Intervention -- 16 Affine Processes -- 16.1 General Framework -- 16.2 European Options And Fourier Transform -- 17 Monte Carlo -- 17.1 Method -- 17.2 Random Numbers -- 17.3 Path Construction For Brownian Motion -- 17.4 Discretization -- 17.5 Greeks -- 17.6 Variance Reduction -- 18 Gauss -- 18.1 Brownian Motion -- 18.2 Black-Scholes -- 18.3 Barrier -- 18.4 Outside Barrier -- 18.5 Useful Integrals -- Notation -- References.

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