- Hardcover: 300 pages
- Publisher: McGraw-Hill Inc.,US (1 May 1998)
- Language English
- ISBN-10: 0070066698
- ISBN-13: 978-0070066694
- Product Dimensions: 22.9 x 15.2 x 2.5 cm
- Amazon Bestsellers Rank: 1,875,059 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Product Description
Pricing and Managing Exotic and Hybrid Options provides detailed, fully supported explanations of how these instruments are priced, and state-of-the-art ways to manage them in a multidimensional portfolio. Citibank trader and risk manager Vineer Bhansali provides detailed examples of risk management instruments from the synthesis of major market classes.
From the Author
A rigorous approach to the pricing and managing of exotics
The book is intended to be a serious introduction to the frameworks and methods behind pricing and managing exotic and hybrid options in the market. The validity of generally accepted methods is derived from first principles. Also, the appendices should prove as valuable reference material for practitioners who don't shy away from mathematical detail. The approach is likely to be of interest to both active managers of large portfolios and academics who are interested in the frontiers of strucutured products. Numerous new approaches to measurement and use of correlation should also be of interest to the audience. The approach is not only used by the leading derivatives houses, but also endorsed by their research teams.
The book is intended to be a serious introduction to the frameworks and methods behind pricing and managing exotic and hybrid options in the market. The validity of generally accepted methods is derived from first principles. Also, the appendices should prove as valuable reference material for practitioners who don't shy away from mathematical detail. The approach is likely to be of interest to both active managers of large portfolios and academics who are interested in the frontiers of strucutured products. Numerous new approaches to measurement and use of correlation should also be of interest to the audience. The approach is not only used by the leading derivatives houses, but also endorsed by their research teams.
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2 reviews
9 of 10 people found the following review helpful
Excellent reference book for structured derivatives!
17 April 2001
Format:Hardcover
I find this book extremely useful in my job. It covers almost all aspects of exotic and hybrid instruments: the real life examples, theory behind the pricing models, implementation using different numerical methods, hedging and risk management issues, a good appendix on the basic math stuff and even a sample VBA code to do multivariate MC. Most importantly, the author took a practitioner's point of view, which makes the materials much easier to be understood and applied. However, I did encounter quite a few errors inside some of the formulas. Just name a few, Eq 3.15 and 3.18 on pg 53, Eq 3.142 on pg 98 and Eq H.61 on pg 336. However, none of them is serious (more like a typo to me). In addition, I think it is more important to get the idea right. You can always double check the formula against any math reference book. Overall, I feel it is an excellent reference book for anyone with a serious interest in structured derivatives.
6 of 6 people found the following review helpful
Pricing And Managing Exotic And Hybrid Options
23 Jun 2001
Format:Hardcover
One of the best books on this topic. It is a very practical book for someone with practical background. No sigma algebra to confuse you, and you do not have to know Girsanov to understand the quanto effect. You just focus on those tough issues you are running into everyday: correlations, long dated FX, cross Gamma hedging, strategic risk management for an exotic book, transaction cost in illiquide market, and so on. In addition, last paragraph of the book is the every reason make me think why this book stands out among these many books.
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