Exotic options : Interest rates & currency
著者
書誌事項
Exotic options : Interest rates & currency
（Wiley finance series）（The swaps & financial derivatives library, . Structured products ; v. 1）
J. Wiley & Sons (Asia), 2006
3rd ed., rev
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注記
Previous ed.: Structured products & hybrid securities, J. Wiley, 2001
Includes bibliographical references and index
内容説明・目次
内容説明
Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivatives (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.
目次
Introduction. DERIVATIVES APPLICATIONS. 1. Applications of Derivative Products. 2. Applications of Forwards/Futures, Swaps and Options. 3. New Issues Arbitrage. SYNTHETIC ASSETS. 4. Synthetic Assets - Asset Swaps, Structured Notes, Repackaging and Structured Investment Vehicles. EXOTIC OPTIONS. 5. Exotic Options. 6. Packaged Forwards and Options. 7. Path Dependent Options. 8. Time Dependent Options. 9. Limit Dependent Options. 10. Payoff Modified Options. 11. Multifactor Options. 12. Volatility Products. INTEREST RATE & FX STRUCTURES. 13. Non-Generic Swaps. 14. Basis Swaps. 15. Option on Swaps/Swaptions. 16. Callable Bonds. 18. Index Amortising Products. 19. Interest Rate Linked Notes. 20. Currency Linked Notes. Index.
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