Оглавление
Qu Dong. Manufacturing and Managing Customer-Driven Derivatives
Preface
Acknowledgments
About the Author
Part One. Overview of Customer-driven Derivative Business
Chapter 1. Evolving Derivative Business Environment
Customer-Driven Derivative Product Categories
Lessons in Derivatives and Crises
Regulations Affecting Derivative Business
Structured Derivative Products Geographic Features
Chapter 2. Pillars in Structured Derivative Business
Derivative Business Value Chain
Model and Product Development Process
Product Issuance and Wrappers
Product Distribution
Chapter 3. Financial Risk Management, Basel III and Beyond
Risk Measures and Financial Rule Books
Basel III Technical Requirements
Internal Model Method (IMM)
Beyond Basel III
Part Two. 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 and Options
American Options
Barrier Options
Lookback and 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 Three. Interest Rate Derivatives
Chapter 10. Multi-Curve Environment and 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 and 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
Chapter 14. Interest Rate Derivative Products
Product Design and Product Risks
Bermudan Swaption
Callable Products
Other Important Products
Part Four. 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
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