{"product_id":"manufacturing-and-managing-customer-driven-derivatives-hardback-9781118632628","title":"Manufacturing and Managing Customer-Driven Derivatives (Hardback) 9781118632628","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eManufacturing and Managing Customer-Driven Derivatives\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cem\u003e\u003cp\u003e\"Like many people on the quantitative side of finance I’ve often wondered why and how the more complex derivatives are created. I mean, some of the term sheets I’ve seen are just downright bizarre. Well, thanks to Dong Qu, the expert in both quant finance and the business side, now I know. Dong covers everything from creative ideas, country specifics, regulatory issues, and tax implications, to modeling and risk management. This is an excellent book, unique for its breadth of coverage, genuinely for the whole business of quantitative finance.\" \u003cbr\u003e\u003cb\u003ePaul Wilmott, Wilmott Magazine\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"With so many books out there on derivatives pricing, I thought it was impossible to write a new, original one. Dong Qu proved I was wrong. Not only does this volume focus on the main industry-standard pricing models, it also sheds light on the typical workflow and development process of derivatives contracts in banks, from quant library design to meeting new regulatory risk-management requirements. I wish this book was out there when I started my career as a front-office quant!\" \u003cbr\u003e\u003cb\u003eFabio Mercurio, Global Head of Quant Analytics, Bloomberg\u003cbr\u003e\u003cbr\u003e\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"Everything you always wanted to know about financial derivatives but were afraid to ask could also be the title of this book. Written by an author with over 20 years of experience in the industry, this book joins practical hedging, risk management and regulation issues with sophisticated yet not overly complicated maths. An absolute must for all practitioners and very informative for academicians.\" \u003cbr\u003e\u003cb\u003eDariusz Gatarek, Professor, Polish Academy of Sciences\u003cbr\u003e\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"This book has been expertly written from a practitioner’s viewpoint. Dong Qu uses his vast experience of working in major global banks to create an operationally relevant textbook, delivering a range and subject matter which is very readable and applicable in today’s financial markets. He writes clearly and authoritatively on all aspects of the life-cycle, manufacturing and regulation of structured products. He also uses his mathematical skills to explore and clearly explain pricing models, whilst never ignoring the practicalities of applying quantitative models to actual risk management requirements.\" \u003cbr\u003e\u003cb\u003eAndrew Law, Global Head of Institutional Sales \u0026amp; Structuring, Bank of Ireland Global Markets\u003c\/b\u003e\u003c\/p\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eDong Qu (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781118632628, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 19 February 2016\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e576 pages\u003cbr\u003e25.2 x 17.5 x 3.6 cm, 1.12 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003e\u003ci\u003eManufacturing and Managing Customer-Driven Derivatives\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\u003ci\u003eManufacturing and Managing Customer-Driven Derivatives\u003c\/i\u003e sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners. This authoritative text offers up-to-date knowledge and practices across a broad range of topics that address the entire manufacturing, pricing and risk management process, including practical knowledge and industrial best practices. This resource blends quantitative and business perspectives to provide an in-depth understanding of the derivative risk management skills that are necessary to adopt in the competitive financial industry.\u003c\/p\u003e \u003cp\u003eManufacturing and managing customer-driven derivative products have become more complex due to macro factors such as the multi-curve environments triggered by the recent financial crises, stricter regulatory requirements of consistent modelling and managing frameworks, and the need for risk\/reward optimisation.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eExplore the fundamental components of the derivatives business, including equity derivatives, interest rates derivatives, real estate derivatives, and real life derivatives, etc.\u003c\/li\u003e \u003cli\u003eExamine the life cycle of manufacturing derivative products and practical pricing models\u003c\/li\u003e \u003cli\u003eDeep dive into a wide range of customer-driven structured derivative products, their investment or hedging payoff features and associated risk exposures\u003c\/li\u003e \u003cli\u003eExamine the implications of changing regulatory standards, which can increase costs in the banking sector\u003c\/li\u003e \u003cli\u003eDiscover practical yet sophisticated product analysis, quantitative modeling, infrastructure integration, risk analysis, and hedging analysis\u003c\/li\u003e \u003cli\u003eGain insight on how banks should handle complex derivatives products\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003e\u003ci\u003eManufacturing and Managing Customer-Driven Derivatives\u003c\/i\u003e is an essential guide for quants, structurers, derivatives traders, risk managers, business executives, insurance industry professionals, hedge fund managers, academic lecturers, and financial math students who are interested in looking at the bigger picture of the manufacturing, pricing and risk management process of customer-driven derivative transactions.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgments xv\u003c\/p\u003e \u003cp\u003eAbout the Author xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART I Overview of Customer-driven Derivative Business 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Evolving Derivative Business Environment 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCustomer-driven Derivative Product Categories 3\u003c\/p\u003e \u003cp\u003eLessons in Derivatives and Crises 4\u003c\/p\u003e \u003cp\u003eRegulations Affecting Derivative Business 7\u003c\/p\u003e \u003cp\u003eStructured Derivative Products Geographic Features 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Pillars in Structured Derivative Business 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDerivative Business Value Chain 21\u003c\/p\u003e \u003cp\u003eModel and Product Development Process 22\u003c\/p\u003e \u003cp\u003eProduct Issuance and Wrappers 31\u003c\/p\u003e \u003cp\u003eProduct Distribution 35\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Financial Risk Management, Basel III and Beyond 39\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk Measures and Financial Rule Books 39\u003c\/p\u003e \u003cp\u003eBasel III Technical Requirements 41\u003c\/p\u003e \u003cp\u003eInternal Model Method (IMM) 48\u003c\/p\u003e \u003cp\u003eBeyond Basel III 55\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART II Equity Derivatives 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Equity Derivatives Market Features 61\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEquity Index Underlyings 61\u003c\/p\u003e \u003cp\u003eDiscrete Dividends 61\u003c\/p\u003e \u003cp\u003eOption Settlement Delay 68\u003c\/p\u003e \u003cp\u003eQuanto Effect 70\u003c\/p\u003e \u003cp\u003eFuture Versus Forward 72\u003c\/p\u003e \u003cp\u003eImplied Volatility Surface 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Black–Scholes Paradigm 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Modelling Framework 87\u003c\/p\u003e \u003cp\u003eAsian Options 93\u003c\/p\u003e \u003cp\u003eBasket Options 100\u003c\/p\u003e \u003cp\u003eDividend Futures and Options 103\u003c\/p\u003e \u003cp\u003eAmerican Options 106\u003c\/p\u003e \u003cp\u003eBarrier Options 110\u003c\/p\u003e \u003cp\u003eLookback and Hindsight Options 113\u003c\/p\u003e \u003cp\u003eVolatility Smile\/Skew Dynamics Impact on Hedging 117\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Local Volatility Framework 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLocal Volatility Stripper 123\u003c\/p\u003e \u003cp\u003eLocal Volatility PDE Solver 127\u003c\/p\u003e \u003cp\u003eLocal Volatility Monte Carlo 132\u003c\/p\u003e \u003cp\u003eLocal Volatility to Implied Volatility 138\u003c\/p\u003e \u003cp\u003ePractical Issues With Local Volatility 142\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Stochastic Local Volatility Framework 145\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStochastic Volatility Models 145\u003c\/p\u003e \u003cp\u003eSLV Model Formulation 147\u003c\/p\u003e \u003cp\u003eSLV Numerical Implementation 150\u003c\/p\u003e \u003cp\u003eSLV Numerical Results 154\u003c\/p\u003e \u003cp\u003eSLV in Practice 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Equity-Linked Structured Products 163\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Payoff Category 163\u003c\/p\u003e \u003cp\u003eFeatures of Important Structured Product Categories 168\u003c\/p\u003e \u003cp\u003eBarrier Reverse Convertibles 183\u003c\/p\u003e \u003cp\u003eConstant Proportion Portfolio Insurance (CPPI) 187\u003c\/p\u003e \u003cp\u003eRisks During Retail Issuance Period 193\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Basket Option Analysis 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasket Option Risks 197\u003c\/p\u003e \u003cp\u003eCopula Pricing Models 198\u003c\/p\u003e \u003cp\u003eHistoric Basket Volatility Surfaces 213\u003c\/p\u003e \u003cp\u003eImplied Basket Volatility Surfaces 217\u003c\/p\u003e \u003cp\u003eCopula Applications 224\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART III Interest Rate Derivatives 227\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Multi-Curve Environment and Yield Curve Stripping 229\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMulti-Curve Environment 229\u003c\/p\u003e \u003cp\u003eYield Curve Stripping 237\u003c\/p\u003e \u003cp\u003eCollateral Impacts 248\u003c\/p\u003e \u003cp\u003eMulti-Curve Multi-Facet Reality 252\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Vanilla Interest Rate Options 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMartingale Pricing Principle 255\u003c\/p\u003e \u003cp\u003eCap\/Floor 258\u003c\/p\u003e \u003cp\u003eEuropean Swaption and SABR 274\u003c\/p\u003e \u003cp\u003eRisk Sensitivities 286\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Practical Interest Rate Derivative Models 293\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey Model Categories 293\u003c\/p\u003e \u003cp\u003eLinear Gauss–Markov Model 295\u003c\/p\u003e \u003cp\u003eLibor Market Model 303\u003c\/p\u003e \u003cp\u003eExtended Cheyette Model 312\u003c\/p\u003e \u003cp\u003eLocal Volatility Model 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13 CMS Replication and CMS Spread Options 343\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCMS Convexity 343\u003c\/p\u003e \u003cp\u003eCMS Replication 344\u003c\/p\u003e \u003cp\u003eCMS Calibration 350\u003c\/p\u003e \u003cp\u003eCMS Spread Option Pricing Framework 356\u003c\/p\u003e \u003cp\u003eCopula Pricing with Full Market Marginal Distributions 362\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 14 Interest Rate Derivative Products 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eProduct Design and Product Risks 375\u003c\/p\u003e \u003cp\u003eBermudan Swaption 381\u003c\/p\u003e \u003cp\u003eCallable Products 387\u003c\/p\u003e \u003cp\u003eOther Important Products 392\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART IV Real-Life Options and Derivatives 399\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 15 Long-dated FX Volatility and Hybrid Risks 401\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFX Volatility Surface 401\u003c\/p\u003e \u003cp\u003eExtrapolating FX Volatility Term Structure to Long End 403\u003c\/p\u003e \u003cp\u003eExtrapolating FX Volatility Smile to Long End 407\u003c\/p\u003e \u003cp\u003eHybrid Optionality 410\u003c\/p\u003e \u003cp\u003ePRDC Hybrid Risks 413\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 16 Portfolio CVA: Efficient Numerical Techniques 419\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCVA Valuation Implementation Framework 420\u003c\/p\u003e \u003cp\u003eNumerical Techniques in Portfolio CVA Valuation 420\u003c\/p\u003e \u003cp\u003eGrid Monte Carlo for CVA 422\u003c\/p\u003e \u003cp\u003eGMC Implementation Example 425\u003c\/p\u003e \u003cp\u003eGMC in Practice 432\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 17 Contingent Convertibles (CoCo) 435\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCoCo Features 435\u003c\/p\u003e \u003cp\u003eCoCo Categories 436\u003c\/p\u003e \u003cp\u003eCoCo Risk Factors 438\u003c\/p\u003e \u003cp\u003eIndirect Modelling Approaches 439\u003c\/p\u003e \u003cp\u003eDirect Modelling Approaches 442\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 18 Variable Annuity Products 451\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eKey VA Product Types 453\u003c\/p\u003e \u003cp\u003eMajor Risk Factors in VA Products 456\u003c\/p\u003e \u003cp\u003eHybrid Pricing Models for VA Products 458\u003c\/p\u003e \u003cp\u003ePracticalities of Handling Long-dated VA Products 466\u003c\/p\u003e \u003cp\u003eImportance of Understanding VA Risks 469\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 19 Interest Rate Optionality in Fixed-Rate Mortgage 473\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrepayment Optionality 473\u003c\/p\u003e \u003cp\u003ePrepayment Risk Characteristics 479\u003c\/p\u003e \u003cp\u003eEarly Redemption Charge 486\u003c\/p\u003e \u003cp\u003eApplying Option-Based Prepayment Technique 488\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 20 Real Estate Derivatives 491\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEquity Release Scheme and Related Derivatives 491\u003c\/p\u003e \u003cp\u003eMortality in Derivatives Pricing 492\u003c\/p\u003e \u003cp\u003eReversion Derivatives Products 497\u003c\/p\u003e \u003cp\u003eReal Estate Portfolio Derivatives 501\u003c\/p\u003e \u003cp\u003eProperty-Linked Roll-Up Mortgage 507\u003c\/p\u003e \u003cp\u003eHPI Retail Products 512\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAPPENDIX A: PRODUCT OF TWO CALLS 515\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDecomposition 515\u003c\/p\u003e \u003cp\u003eThree Key Integrals 516\u003c\/p\u003e \u003cp\u003eAnalytical Formula 518\u003c\/p\u003e \u003cp\u003eBIBLIOGRAPHY 521\u003c\/p\u003e \u003cp\u003eINDEX 531\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52165740036376,"sku":"9781118632628","price":56.69,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781118632628.jpg?v=1781099985","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/manufacturing-and-managing-customer-driven-derivatives-hardback-9781118632628","provider":"Freshly Printed Books","version":"1.0","type":"link"}