Exotic Options

The Cutting-edge CollectionTechnical Papers Published in Risk 1999-2003

Publication Date	April 2003
Publisher	Risk Books
Product Type	Book
Pages	311
ISBN Number	1904339093
Product Code	RIS00303

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Summary

Provides all the insight and explanation you need in order to understand and apply all recent methodologies in the area of exotic options pricing and hedging
Allows you to closely follow various cutting-edge products and methodologies that significantly extend the Black-Scholes framework
Presents models and techniques that have explicit practical as well as theoretical value
Edited collection of 42 articles compiled from Risk magazine featuring contributions from the top names in the field including: Peter Carr, Emanuel Derman, Claudio Albanese and Dilip Madan

Content

Volatility I: Quantitative and Qualitative Description
- Correcting Black-Scholes
  - Michael Kamal and Emanuel Derman
- Regimes of Volatility
  - Emanuel Derman
- If the skew fits
  - Gregory Brown and Curt Randall
- Uncertain volatility
  - Terry Lyons and Adam T Smith
- Jumping smiles
  - Leif Andersen and Jesper Andreasen
- Calibrating Random Volatility
  - Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar
- A mixed up smile
  - Damiano Brigo and Fabio Mercurio
- A fair value for the skew
  - Joe Zou and Emmanuel Derman
- Principles of the skew
  - Carol Alexander
- Crises and Volatility
  - Allan Malz
- The vol smile problem
  - Alexander Lipton
- Trees from history
  - Nusrat Cakici and Kevin Foster
- Reconstructing volatility
  - M.Avellaneda, Dash Boyer-Olson, Peter Friz and Jerome Busca
- Volatile volatilities
  - Leif Andersen and Jesper Andreasen
Volatility II: Vol Swaps
- Introducing the covariance swap
  - Peter Carr and Dilip Madan
- A guide to variance swaps
  - Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou
- Market risk of variance swaps
  - Neil Chriss and William Morokoff
- Volatility Swaps Made Simple
  - Oliver Brockhaus and Douglas Long
Exotic Options: Products and Methods
- Similarities via self-similarities
  - Alexander Lipton
- Pricing exotics under the smile
  - Klaus Said
- Upgrading your passport
  - Jan Vecer and Steven Shreve
- Going with the flow
  - Peter Carr, Alexander Lipton and Dilip Madan
- Static barriers
  - Leif Andersen and Jesper Andreasen
- Jumping in line
  - Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov
- Hedge your Monte Carlo
  - Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic
- behind the Mirror
  - Jesper Andreasen
- Black-Scholes goes hypergeometric
  - Claudio Albanese, Guiseppe Campolieti, Peter Carr and Alexander Lipton
- New products, new risks
  - Richard Quessette
- Himalaya Options
  - Marcus Overhaus
- Exotic Spectra
  - Vadim Linetsky
- Universal barriers
  - Alexander Lipton and William McGhee
- Unified Asian pricing
  - Jan Vecer
- Assets with jumps
  - Alexander Lipton
- Why Be Backward?
  - Peter Carr and Ali Hirsa
Exotic Underlyers
- Hedging under asymmetry
  - Angelo Arvanitis and Jean-Michel Lasry
- Insurance Optional
  - Claudio Giraldi, Gabriele Susinno, Giacomo Berti, John Brunello, Silvia Buttarazzi, Gianluca Cenciarelli, Carlo Daroda and Giuseppe Stamegna
- Pricing the Weather
  - Melanie Cao and Jason Wei
- Hedging electoral risk
  - Steve Kou and Michel Sobel
- Plugging into electricity
  - Helyette Geman and Oldrich Vasicek
- Mean-reverting Smiles
  - Alain Chebanier and David Beaglehole
- Substitute Hedging
  - Vicky Henderson and David Hobson
- A Two-factor mean-reverting model
  - David Beaglehole and Alain Chebanier