Pricing and Managing Exotic and Hybrid Options

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McGraw-Hill, 1998 - Business & Economics - 364 pages
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Exotic and hybrid options are today's hottest risk management tools. in this information-packed, essential guidebook. Bhansali provides readers with hands-on techniques and strategies for structuring and managing a portfolio containing exotic options; a discussion of correlation and its vital link to pricing options; and invaluable computer code for pricing.

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A nice treatment, different from standard approach.

Contents

Chapter
1
Outperformance Options
15
Appendix
22
Product Variations
40
Appendix
45
Symmetries Invariances and Equivalences
65
Constructing the Explicit Dynamic Hedge
76
Inside and Outside Barrier Options
91
Advanced Numerical Techniques
214
Hedging Costs
230
Market Price of Risk for Hybrids
251
Chapter 7
257
Epilogue
272
APPENDIXES
292
Appendix D
307
MaxMin Algebra
310

Baskets and the Edgeworth Expansion
108
Correlation Term Structure
148
Vector Algebra for Correlation
161
Numerical Integration
175
Multivariate Trees and Lattices
194
Appendix
324
Stochastic Processes
338
PDE Methods
349
Copyright

About the author (1998)

Vineer Bhansali is an Managing Director/Portfolio Manager and Head of Global Quantitative Portfolios. Dr. Bhansali joined PIMCO in 2000, previously having been associated with Credit Suisse First Boston as a vice president in proprietary fixed-income trading. Prior to that, he was a proprietary trader for Salomon Brothers in New York and worked in the global derivatives group at Citibank. He is the author of numerous scientific and financial papers and of the book "Pricing and Managing Exotic and Hybrid Options" (McGraw Hill, 1998). He currently serves as an associate editor for the" International Journal of Theoretical and Applied Finance". Dr. Bhansali has fifteen years of investment experience and holds a bachelor's degree and a master's degree in physics from the California Institute of Technology, and a Ph.D. in theoretical particle physics from Harvard University.

Bibliographic information