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Mohamed Bouzoubaa - Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading

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Mohamed Bouzoubaa Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading

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The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation.Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivatives life: the structuring of a product, its pricing and its hedging.Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible.Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set.The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner.By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these exotic concepts truly accessible.

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Table of Contents
Further praise for Exotic Options and Hybrids
This book brings a practitioners prospective into an area that has seen little treatment to date. The challenge of writing a logical, rigorous, accessible and readable account of a vast and diverse field that is structuring of exotic options and hybrids is enthusiastically taken up by the authors, and they succeed brilliantly in covering an impressive range of products.
Vladimir Piterbarg, Head of Quantitative Research, Barclays

What is interesting about this excellent work is that the reader can measure clearly that the authors are sharing a concrete experience. Their writing approach and style bring a clear added value to those who want to understand the structuring practices, Exotics pricing as well as the theory behind these.
Younes Guemouri, Chief Operating Officer, Sophis

The book provides an excellent and compressive review of exotic options. The purpose of using these derivatives is well exposed, and by opposition to many derivatives books, the authors focus on practical applications. It is recommended to every practitioner as well as advanced students looking forward to work in the field of derivatives.
Dr Amine Jalal, Vice President, Equity Derivatives Trading,
Goldman Sachs International

Exotic Options and Hybrids is an exceptionally well written book, distilling essential ingredients of a successful structured products business. Adel and Mohamed have summarized an excellent guide to developing intuition for a trader and structurer in the world of exotic equity derivatives.
Anand Batepati, Structured Products Development Manager, HSBC,
Hong Kong

A very precise, up-to-date and intuitive handbook for every derivatives user in the market.
Amine Chkili, Equity Derivatives Trader, HSBC Bank PLC, London

Exotic Options and Hybrids is an excellent book for anyone interested in structured products. It can be read cover to cover or used as a reference. It is a comprehensive guide and would be useful to both beginners and experts. I have read a number of books on the subject and would definitely rate this in the top three.
Ahmed Seghrouchni, Volatility Trader, Dresdner Kleinwort, London

A clear and complete book with a practical approach to structured pricing and hedging techniques used by professionals. Exotic Options and Hybrids introduces technical concepts in an elegant manner and gives good insights into the building blocks behind structured products.
Idriss Amor, Rates and FX Structuring, Bank of America, London

Exotic Options and Hybrids is an accessible and thorough introduction to derivatives pricing, covering all essential topics. The reader of the book will certainly appreciate the alternation between technical explanations and real world examples.
Khaled Ben-Said, Quantitative Analyst, JP Morgan Chase, London

A great reference handbook with comprehensive coverage on derivatives, explaining both theory and applications involved in day-to-day practices. The authors limpid style of writing makes it a must-read for beginners as well as existing practitioners involved in day-to-day structuring, pricing and trading.
Anouar Cedrati, Structured Products Sales, HSBC, Dubai

A good reference and an excellent guide to both academics and experts for its comprehensive coverage on derivatives through real world illustrations and theory concepts.
Abdessamad Issami, Director of Market Activities, CDG Capital

Exotic Options and Hybrids offers a hands-on approach to the world of options, giving good insight into both the theoretical and practical side of the business. A good reference for both academics and market professionals as it highlights the relationship between theory and practice.
Joseph Nehme, Bachelor of Engineering AUB, ESSEC MBA,
Equity Derivatives Marketer, Merrill Lynch, London

A great guide for experienced professionals or those just starting out in the space. Both the core concepts of structured derivatives as well as the more complex exotics pricing and management come across with great lucidity. Exotic Options and Hybrids is a great complement to anybodys financial library.
Nabil Achtioui, Volatility Arbitrage Trader, Calyon, Paris

Exotic Options and Hybrids serves as a good introduction into the world of structured equities and hybrids, and would be useful for both the enthusiastic novice as well as the seasoned professional who wants to recall a few concepts. Highly recommended.
Rahul Karkun, Rates and Hybrid Structuring, Bank of America, London
For other titles in the Wiley Finance series
please see www.wiley.com/finance
This edition first published 2010 2010 John Wiley Sons Ltd Registered - photo 1
This edition first published 2010
2010 John Wiley & Sons, Ltd

Registered office
John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom

For details of our global editorial offices, for customer services and for information about how to apply for permission to reuse the copyright material in this book please see our website at www.wiley.com.

The right of the author to be identified as the author of this work has been asserted in accordance with the Copyright, Designs and Patents Act 1988.

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, except as permitted by the UK Copyright, Designs and Patents Act 1988, without the prior permission of the publisher.

Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books.

Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The publisher is not associated with any product or vendor mentioned in this book. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required, the services of a competent professional should be sought.

A catalogue record for this book is available from the British Library.

eISBN : 978-0-470-71006-7

Typeset in 10/12pt Times by Aptara Inc., New Delhi, India
To my parents
Chakib and Fadia
MB

To the memory of my grandfather
Adil
AO
List of Symbols and Abbreviations

Indicator function
ATMAt the money
ATMFAt the money forward
bpBasis point, equal to 1% of 1%
EUREuro
GBPGreat Britain pound
ITMIn the money
JPYJapanese yen
KThe strike of a specified option
MTMMarked-to-market
NNormal cumulative distribution function
OTCOver the counter
OTMOut of the money
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