Jetzt bewerten Jetzt bewerten. Written by an experienced trader and consultant, Frans deWeert's Exotic Options Trading offers a risk-focusedapproach to the pricing of exotic options. By giving readers thenecessary tools to understand exotic options, this book serves as amanual to equip the reader with the skills to price and risk managethe most common and the most complex exotic options. De Weert begins by explaining the risks associated with tradingan exotic option before dissecting these risks through a detailedanalysis of the actual economics and Greeks rather than solelystating the mathematical formulae. The book limits …mehr. DE
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You are currently using the site but have requested a page in the site. Would you like to change to the site? Frans de Weert. De Weert begins by explaining the risks associated with trading an exotic option before dissecting these risks through a detailed analysis of the actual economics and Greeks rather than solely stating the mathematical formulae.
The book limits the use of mathematics to explain exotic options from an economic and risk perspective by means of real life examples leading to a practical interpretation of the mathematical pricing formulae. 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.
In short, a must read for anyone who wants to get deep insights into exotic options and start trading them profitably. After obtaining his masters in Mathematics, specializing in probability theory and financial mathematics at the University of Utrecht, he went on to do a research degree, M. Phil, in probability theory at the University of Manchester. After his academic career he started working as a trader for Barclays Capital in London.
In this role he gained experience in trading many different derivative products on European and American equities. After two and half years in London, he moved to New York to start trading derivatives on both Latin American as well as US underlyings. Request permission to reuse content from this site. Undetected location. NO YES. Exotic Options Trading. Selected type: E-Book. Added to Your Shopping Cart. View on Wiley Online Library. This is a dummy description. By giving readers the necessary tools to understand exotic options, this book serves as a manual to equip the reader with the skills to price and risk manage the most common and the most complex exotic options.
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Exotic Options Trading (eBook, PDF)
Exotic Options Trading
Exotic options trading / Frans de Weert.