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
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This edition first published 2010
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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 |
ATM | At the money |
ATMF | At the money forward |
bp | Basis point, equal to 1% of 1% |
EUR | Euro |
GBP | Great Britain pound |
ITM | In the money |
JPY | Japanese yen |
K | The strike of a specified option |
MTM | Marked-to-market |
N | Normal cumulative distribution function |
OTC | Over the counter |
OTM | Out of the money |