Derivatives Trading and Option Pricing

Publication Date	March 2005
Publisher	Risk Books
Product Type	Book
Pages	415
ISBN Number	1904339387
Product Code	RIS00331

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Summary

With 22 valuable technical papers distilled from the pages of Risk magazine over recent years, this title collates the latest techniques in options pricing in credit, equity and interest rates markets - with a special emphasis on how these are being applied to profitable quantitative trading strategies. Edited and introduced by Nicholas Dunbar, the technical editor of Risk magazine, this collection truly represents the cutting edge in derivatives markets. A must for every dealer.

Benefit from the experience of the most ground-breaking names in quantitative finance, such as Alexander Lipton, Peter Carr, Leif Andersen, Jesper Andreasen, Philipp Schoenbucher and many more.
Three main sections cover:
Generic option pricing - including modelling and pricing analysis that cuts across a range of asset classes and provides you with solutions to several important challenges
Pricing problems in credit, equities and interest rates - this section presents papers with a pricing focus in the asset classes of credit, equities and interest rates
Market analysis and quantitative trading - focusing on this area of growing importance
Includes 22 papers representing the best work by Risk magazine's diverse contributor base - including several significant contributions to the literature on quantitative finance and much of the latest academic research developments in the field.
Additionally covers: basket options, credit derivatives, equity derivatives, interest rates, new products, programme trading.
Introduced by Nicholas Dunbar, Risk magazine Technical Editor, who provides an informative overview and binding the collection together and outlining the significance of the subject area today.
An additional postscript by Stephen Blyth of Deutsche Bank provides incisive commentary on current market developments and makes a strong case for new thinking in the quant community.
Fresh and instructive guidance enables you to easily compare risks and risk management strategies applied to many different asset classes.

Content

Introduction
- Nicholas Dunbar
- Risk
Section 1: Generic Option Pricing
- 1 Assets with Jumps
  - Alexander Lipton
  - Citadel Investment Group
- 2 Why Be Backward?
  - Peter Carr; Ali Hirsa
  - New York University; Caspian Capital Management
- 3 Corridor Variance Swaps
  - Peter Carr; Keith A. Lewis
  - New York University; Independent Consultant
- 4 What's a Basket worth?
  - Peter Laurence; Tai-Ho Wang
  - University of Rome; National Chung Cheng University
- 5 Unifying Volatility Models
  - Claudio Albanese; Alexey Kuznetsov
  - University of London; McMaster University
- 6 Smile at the Uncertainty
  - Damiano Brigo, Fabio Mercurio, Francesco Rapisarda
  - Banca IMI
- 7 Local Cross-entropy
  - David Edelman
  - University College Dublin
Section 2: Pricing Problems in Credit, Equities and Interest Rates
- 8 I Will Survive
  - Jon Gregory, Jean-Paul Laurent
  - BNP Paribas
- 9 All Your Hedges in One Basket
  - Leif Andersen, Jakob Sidenius; Susanta Basu
  - Banc of America Securities; Och-Ziff Capital Management
- 10 A Measure of Survival
  - Philipp J. Schnbucher
  - ETH Zurich
- 11 Market Models for CDS Options and Callable Floaters
  - Damiano Brigo
  - Banca IMI
- 12 Index Volatility Surface via Moment-Matching Techniques
  - Peter Lee; Limin Wang; Abdelkerim Karim
  - Lehman Brothers; Credit Suisse First Boston; Lehman Brothers
- 13 Smile Dynamics
  - Lorenzo Bergomi
  - Socit Gnrale
- 14 Volatile Volatilities
  - Leif Andersen; Jesper Andreasen
  - Banc of America Securities; Nordea Markets
- 15 Swap Vega in BGM: Pitfalls and Alternatives
  - Raoul Pietersz; Antoon Pelsser
  - ABN Amro; ING Group Risk Management
- 16 Black Smirks
  - Fei Zhou
  - Lehman Brothers
- 17 Correlating Market Models
  - Bruce Choy; Tim Dun; Erik Schlgl
  - Commonwealth Bank of Australia; ANZ Risk Management; University of Technology
Section 3: Market Analysis and Quantitative Trading
- 18 Bidding Principles
  - Robert Almgren; Neil Chriss
  - University of Toronto; SAC Capital
- 19 Practical Relative-value Volatility Trading
  - Stephen Blyth
  - Deutsche Bank
- 20 Arbitrage under Power
  - Michael Boguslavsky; Elena Boguslavskaya
  - ABN Amro; University of Amsterdam
- 21 Component Proponents II
  - Christophe Prignon; Christophe Villa
  - Simon Fraser University; ENSAI
- 22 Excess Yields in Bond Hedging
  - Haim Reisman, Gady Zohar
  - Technion
- Age of Reason or Age of Procedure?
  - Stephen Blyth
  - Deutsche Bank