Currently kat is a manager of the ac risk parity 12 fund, a german fund domiciled in luxembourg. The definitive guide to exotic options and structured notes the wiley finance series before purchasing it in order to gage whether or not it would be worth my time, and all praised structured equity derivatives. Top 5 in 2000s rank year company a company b value usd 1 2000 aol time warner 164,747,000,000 2 2007 rbs, fortis, santander abn amro 95,500,000,000. The investor receives a potential payout by paying the cost of the derivative contract, which is referred to as a premium in the options market. Best execution on otc instruments bloomberg professional. The definitive guide to exotic options and structured notes the wiley finance series book 252 kindle edition by kat, harry m. Trainee, structured equity derivatives trading natixis. Structured equity derivatives harry kat pdf download 87c6bb4a5b programming ruby epub download mazemystery man kristen ashley epub download booksfuncionalismo estructural talcott parsons pdf downloadpowder mage trilogy epub download sitede diligendo deo san bernardo pdf download12th five year plans in india pdf downloadhollow city ransom riggs. The definitive guide to exotic options and structured notes the wiley finance series book 252 harry m. An equity derivative is a derivative instrument with underlying assets based on equity securities.
Structured equity derivatives fills this gap in a remarkable way. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own derivatives solutions to an endless variety of problems. The definitive guide to exotic options and structured notes the. These contracts are legally binding agreements, made on trading screen of stock exchange, to buy or sell an asset in. Local academics and practitioners loved this elegant generalisation of the blackscholes setting, which is easy to implement on a modified binomial tree and fits any volatility surface. Transforming risk profile and enhancing returns an investors view is likely to vary from the market view a call options expected return distribution compared to. Risk management by structured derivative product companies eli m. An overview of hedge funds and structured products. Equity derivatives and hybrids provides exhaustive coverage of both market standard and new approaches, including. Equity derivative sales august 1998 salomon smith barney exotic equity derivatives manual randall fairman, ph. The definitive guide to exotic options and structured notes by kat, harry m. The author will present some derivative introduction and topics that will be used in the. A large number of different types of derivative securities have become very important for management of a variety of different types of equity related risks.
This chapter provides an overview of equity derivative securities and the structuring process. The definitive guide to exotic options and structured notes as want to read. To create a great deal structure, aim for a winwin scenario, where the interests of both parties are well represented in the deal and risks are reduced to the barest minimum. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own derivatives. Remolona, william bassett, and in sun geoum he phenomenal growth of the derivatives markets in the last decade and the spate of huge losses there have highlighted the importance of risk management. They form a new generation of assets and display portfolio hedging diversification properties.
Equity derivatives can be extensively customized to meet an investors riskreturn profile and investment objectives, such as capital protection, diversification, yield enhancement, leverage, regular income, taxregulation optimization, and access to nontraditional asset classes, among others. Bnp paribass equity derivatives business provides a comprehensive product range of diverse solutions across both flow and structured products. For a more detailed discussion of other major financial innovations in recent years, see anderson and mckay 2008. The bnp paribas structured products handbook 2009 is designed to introduce the reader to structured. The approach is extremely natural the only limit is the readers own creativity. Applied quantitative methods for trading and investment. Kat is the author of structured equity derivatives 3. Goodreads helps you keep track of books you want to read. Equity derivatives can act like an insurance policy. Prior to that he was head of derivatives structuring and marketing at first chicago in tokyo and head of derivatives research at meespierson in. Table 1 equity derivatives product usage north america this table shows the percentage of u. Structured equity derivatives harry kat pdf download.
To date, credit derivatives have been structured as forwards, options, or swaps, but not yet as futures. A practitioners guide to structuring listed equity. In equity derivatives a salesperson is somewhat like a broker, who is going back and forth between two parties until they agree on a price. Principal protected notes are the result of combining zero coupon securities and the price. Although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual design of derivatives contracts. Equity derivatives strategy derivatives for assetfund managers. Address 500 terry francois street san francisco, ca 94158. The definitive guide to exotic options and structured notes by harry m. The pricewaterhousecoopers credit derivatives primer. Structured equity derivatives, harry kat, wiley finance q. In the equity derivatives space, local volatility has been viewed for a long time as being the final and universal answer to the smile problem.
Kat has over 12 years of experience in global capital markets, lastly as head of equity derivatives europe at bank of america in london. The initial public offering of structured products. Types of structured equity products this chapter focuses on structured equity products that are designed to be transferable instruments and which sometimes embed equity derivatives technology with additional financial features. This is an important rule with structured derivatives that clients ignore at their peril. Otc and listed derivatives, funds and equity linked funds and bonds convertibles, emtn, etc. An introduction to derivative pricing martin baxter.
The valuation of equity derivatives technical information papers technical information papers t ips support the application of the requirements in other standards. Everyday low prices and free delivery on eligible orders. Although 2010 revenues are expected to be up about 16% on this year, a tougher regulatory environment might force a permanent shift to lowermargin flow products. Kat is a former professor of risk management and director alternative investment research centre city university london sir john cass business school. The definitive guide to exotic options and structured notes. An introduction a derivative security is simply a financial instrument whose value is derived from that of another security, financial index or rate. Price client requestsremark volatilities, dividends and reposrun adhoc risk reports to better understand our. Applied quantitative methods for trading and investment christian l. The book introduces an approach to the structuring and practical application of derivatives that allows readers to create their own derivatives solutions to an endless variety of problems. Structured equity derivatives kat pdf download 16ilr8. Investors will therefore obtain a synthetic exposure to the risk andor reward in one or more underlying shares, fund. As structured products investment require some derivatives instruments knowledge. The numbers in parentheses represent the number of respondents in the survey sample.
Risk management by structured derivative product companies. In june, bank analysts at jpmorgan predicted that 2009 equity derivatives revenues would be 29% down on 2008, driven in part by the decline in fees earned on exotic products. Issues in leverage and risk adrian blundellwignall executive summary the size of the hedge fund sector, using iosco sources and results from responses to an oecd questionnaire on hedge funds, is around usd 1. Empirical properties of stock returns including autocorrelation and jumps dividend discount models nonmarkovian and discretetime volatility processes correlation skew modeling via copula as well as local and stochastic. A definition a credit derivativeis a privately negotiated contract the value of which is. Equity derivatives and structured equity products day one monday 17 september 2007 09. This report may be distributed only to persons who have received a copy of the booklet characteristics and risks of standardized options, published by.
Valueatrisk and derivatives risk the capital cost associated with operating risk is more than that due to market and credit risk. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual. As the most relevant risk to a trading operation, operating risk is the primary reason trading operations failimplying that emphasis on. Credit forwards are a very recent development, so most of the primer deals with credit options and swaps. The course aims to blend a solid understanding of fixedincome principles with the reality of market. By discussing equity derivatives in a practical, nonmathematical and highly intuitive setting, this book enables practitioners to fully understand and correctly structure, price and hedge these products effectively, and stand strong as the only book in its class to make these equity. An equity derivatives value will fluctuate with changes in its underlying.
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