Exotic Options Trading Frans de Weert PDF - Free download as PDF File .pdf), Text File .txt) or read online for free. Exotic Options Trading Frans de Weert John Wiley & Sons, Ltd. Contents Preface Acknowledgements 1 Introduction 2 Conventional Options, Forwards and Greeks Call and Put Options and Forwards Pricing Calls and Puts Implied Volatility Determining the Strike of the Forward Pricing of Stock Options Including Dividends.
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The book covers conventional options, digital options, barrier options, cliquets, quanto options, outperformance options and variance swaps, and explains difficult concepts in simple terms, with a practical approach that gives the reader a full understanding of every aspect of each exotic option. The book also discusses structured notes with exotic options embedded in them, such as reverse convertibles, callable and puttable reverse convertibles and autocallables and shows the rationale behind these structures and their associated risks.
For each exotic option, the author makes clear why there is an investor demand; explains where the risks lie and how this affects the actual pricing; shows how best to hedge any vega or gamma exposure embedded in the exotic option and discusses the skew exposure.
By explaining the practical implications for every exotic option and how it affects the price, in addition to the necessary mathematical derivations and tools for pricing exotic options, Exotic Options Trading removes the mystique surrounding exotic options in order to give the reader a full understanding of every aspect of each exotic option, creating a useable tool for dealing with exotic options in practice. De Weert's exceptional text fills this gap superbly.
It is a rigorous treatment of a number of exotic structures and includes numerous examples to clearly illustrate the principles. What makes this book unique is that it manages to strike a fantastic balance between the theory and actual trading practice.
Although it may be something of an overused phrase to describe this book as compulsory reading, I can assure any reader they will not be disappointed. The real edge of this book is that it explains exotic options from a risk and economical perspective and provides a clear link to the actual profit and pricing formulae.
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