Advanced Equity Derivatives Volatility and Correlation, by Bossu, Sebastien
- ISBN: 9781118750964 | 1118750969
- Cover: Hardcover
- Copyright: 5/19/2014
Equity derivatives require advanced pricing methods to maximize gains while minimizing risk. Even slightly ineffective modeling and pricing can impact yield potential, and a robust risk management plan is essential. Although equity derivatives perform best in a volatile market, exercising all available options at key points is the critical move of the successful investor. Equity derivatives are the bolder, more complex side of OTC trading, and can be customized to increase gains, but they must be executed with precision. A poorly executed strategy can mean substantial losses, when advanced planning could have yielded substantial gains.
In Advanced Equity Derivatives, author Sebastian Bossu explains the principles that govern exotic equity derivatives, and the factors that play into increasing returns. With a dual background in academia and high finance, Bossu describes the formulas and modeling techniques that can help mitigate risk, regardless of market position. Using a mathematically-based, quantitative approach, the book provides a deeper understanding of the modern equity marketplace, including:
- A thorough exploration and discussion of exotic options
- Theoretical and practical applications of the Black-Scholes model
- The proxy formula that connects volatility and correlation
- Equity price risk and cost-effective portfolio management
Advanced Equity Derivatives contains illustrations and problem sets that clarify advanced concepts in the pricing and hedging of exotic derivatives, making it ideal for classroom or training use. A portfolio must be diverse to perform to its full potential, and Advanced Equity Derivatives provides the information that empowers the savvy investor.