{"product_id":"manufacturing-and-managing-customerdriven-derivatives-9781118632628","title":"Manufacturing and Managing CustomerDriven","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eManufacturing and Managing Customer-Driven Derivatives     Manufacturing and Managing Customer-Driven Derivatives sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgments xv\u003c\/p\u003e \u003cp\u003eAbout the Author xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART I Overview of Customer-driven Derivative Business 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Evolving Derivative Business Environment 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCustomer-driven Derivative Product Categories 3\u003c\/p\u003e \u003cp\u003eLessons in Derivatives and Crises 4\u003c\/p\u003e \u003cp\u003eRegulations Affecting Derivative Business 7\u003c\/p\u003e \u003cp\u003eStructured Derivative Products Geographic Features 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Pillars in Structured Derivative Business 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDerivative Business Value Chain 21\u003c\/p\u003e \u003cp\u003eModel and Product Development Process 22\u003c\/p\u003e \u003cp\u003eProduct Issuance and Wrappers 31\u003c\/p\u003e \u003cp\u003eProduct Distribution 35\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Financial Risk Management, Basel III and Beyond 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk Measures and Financial Rule Books 39\u003c\/p\u003e \u003cp\u003eBasel III Technical Requirements 41\u003c\/p\u003e \u003cp\u003eInternal Model Method (IMM) 48\u003c\/p\u003e \u003cp\u003eBeyond Basel III 55\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART II Equity Derivatives 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Equity Derivatives Market Features 61\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEquity Index Underlyings 61\u003c\/p\u003e \u003cp\u003eDiscrete Dividends 61\u003c\/p\u003e \u003cp\u003eOption Settlement Delay 68\u003c\/p\u003e \u003cp\u003eQuanto Effect 70\u003c\/p\u003e \u003cp\u003eFuture Versus Forward 72\u003c\/p\u003e \u003cp\u003eImplied Volatility Surface 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Black–Scholes Paradigm 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Modelling Framework 87\u003c\/p\u003e \u003cp\u003eAsian Options 93\u003c\/p\u003e \u003cp\u003eBasket Options 100\u003c\/p\u003e \u003cp\u003eDividend Futures and Options 103\u003c\/p\u003e \u003cp\u003eAmerican Options 106\u003c\/p\u003e \u003cp\u003eBarrier Options 110\u003c\/p\u003e \u003cp\u003eLookback and Hindsight Options 113\u003c\/p\u003e \u003cp\u003eVolatility Smile\/Skew Dynamics Impact on Hedging 117\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Local Volatility Framework 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLocal Volatility Stripper 123\u003c\/p\u003e \u003cp\u003eLocal Volatility PDE Solver 127\u003c\/p\u003e \u003cp\u003eLocal Volatility Monte Carlo 132\u003c\/p\u003e \u003cp\u003eLocal Volatility to Implied Volatility 138\u003c\/p\u003e \u003cp\u003ePractical Issues With Local Volatility 142\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Stochastic Local Volatility Framework 145\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStochastic Volatility Models 145\u003c\/p\u003e \u003cp\u003eSLV Model Formulation 147\u003c\/p\u003e \u003cp\u003eSLV Numerical Implementation 150\u003c\/p\u003e \u003cp\u003eSLV Numerical Results 154\u003c\/p\u003e \u003cp\u003eSLV in Practice 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Equity-Linked Structured Products 163\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Payoff Category 163\u003c\/p\u003e \u003cp\u003eFeatures of Important Structured Product Categories 168\u003c\/p\u003e \u003cp\u003eBarrier Reverse Convertibles 183\u003c\/p\u003e \u003cp\u003eConstant Proportion Portfolio Insurance (CPPI) 187\u003c\/p\u003e \u003cp\u003eRisks During Retail Issuance Period 193\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Basket Option Analysis 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasket Option Risks 197\u003c\/p\u003e \u003cp\u003eCopula Pricing Models 198\u003c\/p\u003e \u003cp\u003eHistoric Basket Volatility Surfaces 213\u003c\/p\u003e \u003cp\u003eImplied Basket Volatility Surfaces 217\u003c\/p\u003e \u003cp\u003eCopula Applications 224\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART III Interest Rate Derivatives 227\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Multi-Curve Environment and Yield Curve Stripping 229\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMulti-Curve Environment 229\u003c\/p\u003e \u003cp\u003eYield Curve Stripping 237\u003c\/p\u003e \u003cp\u003eCollateral Impacts 248\u003c\/p\u003e \u003cp\u003eMulti-Curve Multi-Facet Reality 252\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Vanilla Interest Rate Options 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMartingale Pricing Principle 255\u003c\/p\u003e \u003cp\u003eCap\/Floor 258\u003c\/p\u003e \u003cp\u003eEuropean Swaption and SABR 274\u003c\/p\u003e \u003cp\u003eRisk Sensitivities 286\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Practical Interest Rate Derivative Models 293\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey Model Categories 293\u003c\/p\u003e \u003cp\u003eLinear Gauss–Markov Model 295\u003c\/p\u003e \u003cp\u003eLibor Market Model 303\u003c\/p\u003e \u003cp\u003eExtended Cheyette Model 312\u003c\/p\u003e \u003cp\u003eLocal Volatility Model 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13 CMS Replication and CMS Spread Options 343\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCMS Convexity 343\u003c\/p\u003e \u003cp\u003eCMS Replication 344\u003c\/p\u003e \u003cp\u003eCMS Calibration 350\u003c\/p\u003e \u003cp\u003eCMS Spread Option Pricing Framework 356\u003c\/p\u003e \u003cp\u003eCopula Pricing with Full Market Marginal Distributions 362\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 14 Interest Rate Derivative Products 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProduct Design and Product Risks 375\u003c\/p\u003e \u003cp\u003eBermudan Swaption 381\u003c\/p\u003e \u003cp\u003eCallable Products 387\u003c\/p\u003e \u003cp\u003eOther Important Products 392\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART IV Real-Life Options and Derivatives 399\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 15 Long-dated FX Volatility and Hybrid Risks 401\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFX Volatility Surface 401\u003c\/p\u003e \u003cp\u003eExtrapolating FX Volatility Term Structure to Long End 403\u003c\/p\u003e \u003cp\u003eExtrapolating FX Volatility Smile to Long End 407\u003c\/p\u003e \u003cp\u003eHybrid Optionality 410\u003c\/p\u003e \u003cp\u003ePRDC Hybrid Risks 413\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 16 Portfolio CVA: Efficient Numerical Techniques 419\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCVA Valuation Implementation Framework 420\u003c\/p\u003e \u003cp\u003eNumerical Techniques in Portfolio CVA Valuation 420\u003c\/p\u003e \u003cp\u003eGrid Monte Carlo for CVA 422\u003c\/p\u003e \u003cp\u003eGMC Implementation Example 425\u003c\/p\u003e \u003cp\u003eGMC in Practice 432\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 17 Contingent Convertibles (CoCo) 435\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCoCo Features 435\u003c\/p\u003e \u003cp\u003eCoCo Categories 436\u003c\/p\u003e \u003cp\u003eCoCo Risk Factors 438\u003c\/p\u003e \u003cp\u003eIndirect Modelling Approaches 439\u003c\/p\u003e \u003cp\u003eDirect Modelling Approaches 442\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 18 Variable Annuity Products 451\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey VA Product Types 453\u003c\/p\u003e \u003cp\u003eMajor Risk Factors in VA Products 456\u003c\/p\u003e \u003cp\u003eHybrid Pricing Models for VA Products 458\u003c\/p\u003e \u003cp\u003ePracticalities of Handling Long-dated VA Products 466\u003c\/p\u003e \u003cp\u003eImportance of Understanding VA Risks 469\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 19 Interest Rate Optionality in Fixed-Rate Mortgage 473\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrepayment Optionality 473\u003c\/p\u003e \u003cp\u003ePrepayment Risk Characteristics 479\u003c\/p\u003e \u003cp\u003eEarly Redemption Charge 486\u003c\/p\u003e \u003cp\u003eApplying Option-Based Prepayment Technique 488\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 20 Real Estate Derivatives 491\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEquity Release Scheme and Related Derivatives 491\u003c\/p\u003e \u003cp\u003eMortality in Derivatives Pricing 492\u003c\/p\u003e \u003cp\u003eReversion Derivatives Products 497\u003c\/p\u003e \u003cp\u003eReal Estate Portfolio Derivatives 501\u003c\/p\u003e \u003cp\u003eProperty-Linked Roll-Up Mortgage 507\u003c\/p\u003e \u003cp\u003eHPI Retail Products 512\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAPPENDIX A: PRODUCT OF TWO CALLS 515\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDecomposition 515\u003c\/p\u003e \u003cp\u003eThree Key Integrals 516\u003c\/p\u003e \u003cp\u003eAnalytical Formula 518\u003c\/p\u003e \u003cp\u003eBIBLIOGRAPHY 521\u003c\/p\u003e \u003cp\u003eINDEX 531\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406897586519,"sku":"9781118632628","price":57.0,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118632628.jpg?v=1730497484","url":"https:\/\/bookcurl.com\/products\/manufacturing-and-managing-customerdriven-derivatives-9781118632628","provider":"Book 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