Risk Books - Equity Derivatives Applications in Risk Management and Investment
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Equity Derivatives Applications in Risk Management and Investment
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This work tracks the evolution of the reinvention of the equity derivatives market, focusing on the major product and application innovations.
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Equity Derivatives : Applications in Risk Management and Investment
author
:
publisher
:
Risk Books
isbn10 | asin
:
1899332162
print isbn13
:
9781899332168
ebook isbn13
:
9780585302959
language
:
English
subject
Derivative securities.
publication date
:
1997
lcc
:
HG6021E58 1997eb
ddc
:
332.63/2
subject
:
Derivative securities.
Page 3
Equity Derivatives
Applications in Risk Management and Investment
Lehman Brothers
Page 4
Published by Risk Publications 104-112 Marylebone Lane London W1M 5FU Tel +44 (0)171 487 5326; fax +44 (0)171 486 0879
Financial Engineering Ltd London 1997 ISBN - 1 899332 11 1 Hardback ISBN - 1 899332 16 2 Softback
Editor: Laurie Donaldson Typesetting: Marie Doherty
Printed and bound in Great Britain by Bookcraft (Bath) Ltd, Midsomer Norton. Covers Printed by Grange Press, Southwick.
All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise without the prior permission of the publishers.
Risk Publications has made every effort to ensure the accuracy of the text; however, neither it nor any company associated with the publication can accept legal or financial responsibility for consequences which may arise from errors, omissions, or any opinions given.
Page 5
CONTENTS
Authors
9
Introduction: Concepts and Uses
Murali Ramaswami of Lehman Brothers
13
Corporate Applications
1 Structured Equity Products and Issuers
Ramesh Ramanathan and Toby Smith of Citibank
19
2 Corporate Crossholdings: Risk Management and Value Extraction
Girish Reddy and Jim Ziperski of Goldman Sachs
35
3 Equity Derivative Applications to Own Share Schemes
S.A.M. Lusty of UBS
51
4 Taxation of Equity Derivatives
Richard Clarke and Viva Hammer of Price Waterhouse
73
Investment and Portfolio Strategies
5 Selecting and Customising Equity Derivatives for Investment Funds
William Margrabe of William Margrabe Group, Inc
95
6 Equity Index and Index Replication Strategies
Bich Pham and Karl Gauvin of TAL Investment Counsel
127
7 Prudent Uses of Derivatives in Asset Management
Ivan E. Stux of Morgan Stanley
137
8 Providing and Packaging Retail Products
Anthony Culligan of Robert Fleming & Co
159
9 Equity Derivatives for Emerging Market Cross-Border Investment
Ronald T. Slivka of Portfolio Advice Associates
179
Page 6
Valuation and Risk Analysis
10 Pricing and Hedging Equity Options: The Effect of Market Structure and Transactions Costs
Henrik Neuhaus and Yasuo Kusuda of Nikko Securities
199
11 Martingale Pricing: A Do-it-Yourself Guide to Deriving Black-Scholes
Pierre Collin Dufresne of HEC School of Management; William Keirstead of Goldman Sachs; Michael P. Ross of Haas School of Business
223
12 Measuring Equity Volatilities
Robert G. Tompkins of Minerva Consulting Ltd
233
13 Equity Risk and Portfolio Analysis
Christopher Woods of State Street Global Advisors
269
Index
283
Page 7
KEY THEMES IN EQUITY DERIVATIVES
Throughout this Book Special Panels Introduce Key Concepts and Describe Worked Examples
The Opportunity/Exposure Decision Process
23
Leverage and Derivative Products
25
A Brief History of the Use of CVRs
29
Example of Put Writing in a Share Repurchase Programme
31
The Need for Risk Management in Equitiesan Illustration
32
The Impact of Liquidity on Pricing and Hedgingan Example
33
Chinese Walls
34
A Finnish Corporation's Use of an Equity Index Swap
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