Structured equity derivatives: the definitive guide to exotic options and structured notes
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester [u.a.]
Wiley
2001
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVIII, 372 S. graph. Darst. |
| ISBN: | 0471486523 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV013882811 | ||
| 003 | DE-604 | ||
| 005 | 20011001 | ||
| 007 | t | ||
| 008 | 010828s2001 d||| |||| 00||| eng d | ||
| 020 | |a 0471486523 |9 0-471-48652-3 | ||
| 035 | |a (OCoLC)45958275 | ||
| 035 | |a (DE-599)BVBBV013882811 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-739 |a DE-473 | ||
| 050 | 0 | |a HG6024.A3 | |
| 082 | 0 | |a 332.63/2 |2 21 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Kat, Harry M. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Structured equity derivatives |b the definitive guide to exotic options and structured notes |c Harry M. Kat. |
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2001 | |
| 300 | |a XVIII, 372 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 650 | 7 | |a Derivativos |2 larpcal | |
| 650 | 7 | |a Opções financeiras |2 larpcal | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Exotic options (Finance) | |
| 650 | 4 | |a Structured notes (Securities) | |
| 650 | 0 | 7 | |a Exotic options |0 (DE-588)4450269-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Strukturiertes Finanzprodukt |0 (DE-588)4656104-3 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Strukturiertes Finanzprodukt |0 (DE-588)4656104-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Exotic options |0 (DE-588)4450269-2 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009497788&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009497788 | ||
Record in the Search Index
| _version_ | 1804128721264705536 |
|---|---|
| adam_text | Contents Preface xv
1 The General Framework 1
1.1 Introduction 1
1.2 Cash Flows 1
1.3 Reference Indices 2
1.4 Vanilla Index Linked Cash Flows 2
1.4.1 Monetization 3
1.4.2 Currency Translation 3
1.4.3 Scaling 4
1.5 Structured Index Linked Cash Flows 5
1.6 Zeros and Forwards 5
1.7 Contract Extensions 6
1.8 Tax, Accounting and Regulation 7
1.9 Conclusion 8
2 Stocks and Stock Market Indices 11
2.1 Introduction 11
2.2 Common Stocks 11
2.3 Corporate Actions 13
2.3.1 Dividends 13
2.3.2 New Issues 14
2.3.3 Stock Splits 16
2.4 Index Calculation 16
2.5 Some Well Known Stock Market Indices 19
2.6 The Behavior of Equity Indices 19
2.6.1 Visual Inspection 20
2.6.2 The GARCH (1,1) Model 23
2.6.3 Parameter Estimation 24
2.6.4 Did Return Behavior Change During the Nineties? 24
2.6.5 Forecasting Volatility with the GARCH (1,1) Model 25
2.7 Conclusion 27
viii Contents
3 Special Contract Features 29
3.1 Introduction 29
3.2 Knock In and Knock Out Features 29
3.3 Barriers 30
3.3.1 The Barrier Variable 31
3.3.2 The Monitoring Points 31
3.3.3 The Barrier Level 32
3.3.4 The Nature of the Barrier 32
3.3.5 Lazy Barriers and Tranching 33
3.3.6 Index Linked Multipliers 34
3.4 Double Barriers 34
3.5 The Right to Cancel a Contract 35
3.5.1 The Option Right 36
3.5.2 The Right to Exchange a Contract for Cash 37
3.5.3 The Right to Exchange One Contract for Another 38
3.6 The Right to Change a Contract Parameter 38
3.7 Rights and Automatic Features 39
3.8 Conclusion 40
4 Index Linked Cash Flows 41
4.1 Introduction 41
Assumptions Notation 41
4.2 Fixed Cash Flows 41
4.3 Digitals 42
4.4 Vanilla Index Linked Cash Flows 44
4.5 Baskets and Spreads 45
4.6 Ratios and Products 46
4.7 Highest and Lowest 47
4.8 Vanilla Returns 48
4.8.1 Single Index Returns 49
4.8.2 Basket Returns 49
4.8.3 The Basket as Reference Index 50
4.9 Arithmetic Averages 51
4.10 Average Returns 52
4.10.1 Single Index Average Returns 52
4.10.2 Basket Average Returns 53
4.10.3 The Basket as Reference Index 54
4.11 Vanilla Extrema 54
4.12 Stepwise Extrema 55
4.13 Extended Stepwise Extrema 58
4.14 Piecewise Linear Cash Flows 59
4.15 Cliquets 60
4.16 Hamsters 60
4.17 Vanilla Forwards and Ordinary Options 63
4.18 Conclusion 65
Contents ix
5 Pricing and Hedging 67
5.1 Introduction 67
5.2 Pricing and Hedging in General 67
Assumptions Notation 69
5.3 The Expected Hedging Costs 69
5.4 Time Value 72
5.5 A Shortcut for the Expected Hedging Costs 74
5.6 Putting Theory into Practice: Hedging Errors 76
5.6.1 Jumps 77
5.6.2 Discrete Trading 77
5.6.3 Transaction Costs 80
5.6.4 Volatility Misprediction 83
5.7 Putting Theory into Practice: Simulation 87
5.7.1 The Model 87
5.7.2 Simulation Results 89
5.8 Futures Market Execution 94
5.9 Alternative Hedging Strategies 96
5.9.1 Common Sense Hedging 96
5.9.2 Taylor Series Hedging 98
5.9.3 (Semi )Static Hedging 101
5.10 The Expected Hedging Costs Again 101
5.11 Conclusion 102
6 Improving Efficiency 105
6.1 Introduction 105
Assumptions Notation 105
6.2 Indexation 105
6.2.1 DIY Indexation 106
6.2.2 Index Participations 107
6.2.3 Pricing Index Participations 108
6.3 Leveraged Buying and Short Selling 110
6.3.1 Leveraged Buying 110
6.3.2 Short Selling 111
6.3.3 Pricing Vanilla Forwards 112
6.4 Switching from Equity to Cash 115
6.4.1 The Basic Case 115
6.4.2 Non Index Portfolios 116
6.4.3 Multi Period Contracting 119
6.5 Switching from Equity to Bonds 124
6.6 Synthetic Indexation and Alpha Extraction 124
6.6.1 Enhancing Index Returns 125
6.6.2 Enhancing Money Market Returns 126
6.6.3 Pure Alpha Extraction 126
6.7 Different Problems, Same Solution 127
6.7.1 Expansion of the Investment Universe 127
6.7.2 Management of Concentrated Equity Risk 128
6.8 Conclusion 128
x Contents
7 Risk Management 131
7.1 Introduction 131
7.2 Derivatives in Investment Management 131
Assumptions Notation (Chapters 7 and 8) 132
7.3 Protected Leveraged Buying and Short Selling 133
7.3.1 Protected Leveraged Buying 133
7.3.2 Protected Short Selling 134
7.3.3 The Option Premium 134
7.4 Optimal Asset Allocation 137
7.4.1 The Best of Equity and Cash (Portfolio Insurance) 137
7.4.2 The Best of Equity and Bonds 146
7.4.3 The Best of Equity, Bonds and Cash 152
7.5 Yield Enhancement 155
7.6 Reducing the Risk of Writing Calls 157
7.6.1 Raising the Strike 157
7.6.2 Writing Less 157
7.6.3 Piecewise Linear Segmentation 158
7.6.4 Knock In and Knock Out Features 160
7.7 Collars 162
7.8 Synthetics 165
7.8.1 Portfolio Insurance 165
7.8.2 Yield Enhancement 166
7.9 Separating FX Risk From Equity Risk 166
7.9.1 The FX Lock 167
7.9.2 The FX Lock Option 169
7.10 Improving the Timing of Market Entry and Exit 170
7.10.1 Market Entry 171
7.10.2 Market Exit 175
7.10.3 DIY Ladders 177
7.11 Conclusion 178
8 Reducing the Costs of Buying Options 179
8.1 Introduction 179
8.2 Changing the Contract Parameters 180
8.3 Changing the Reference Index 180
8.3.1 A Higher Dividend Yield 180
8.3.2 Basket Options 181
8.4 Buying Less 183
8.5 Piecewise Linear Segmentation 183
8.6 Knock In and Knock Out Options 185
8.6.1 Inside Barrier Options 186
8.6.2 Outside Barrier Options 188
8.6.3 Inside versus Outside Barriers 190
8.7 Changing Exchange Rate Risk 192
8.8 Pay Later and Money Back Options 193
8.8.1 Path Independent Money Backs and Pay Laters 194
8.8.2 Path Dependent Money Backs and Pay Laters 199
Contents xi
8.9 Instalment Options 200
8.10 Callable Options 202
8.11 Asian Options 204
8.12 Revised Monitoring of the Index 205
8.12.1 Lookback and Ladder Options 205
8.12.2 Barrier Options 207
8.12.3 Asian Options 209
8.13 A Final Note on Monitoring 211
8.14 Conclusion 212
9 Equity Linked Bull Notes 213
9.1 Introduction 213
9.2 Structuring Retail Products 213
9.3 The General Structure of a Note Issue 216
9.4 The Structuring Process 218
Assumptions Notation (Chapters 9 12) 219
Software (Chapters 9 and 10) 220
9.5 Unprotected Bull Notes 220
9.5.1 Vanilla Bull Note 220
9.5.2 Vanilla Bull Note with a Reduced Base 222
9.5.3 Capped Bull Note 224
9.5.4 Capped Bull Note with Knock In/Knock Out
Downside Risk 232
9.6 Principal Protected Bull Notes 236
9.7 The Market for Principal Protected Bull Notes 239
9.8 Some Practical Considerations 241
9.8.1 Dealing with a Marketing Period 241
9.8.2 Avoiding Surprises 242
9.9 Conclusion 243
10 Raising the Participation Rate 245
10.1 Introduction 245
10.2 Changing the Note Parameters 246
10.2.1 A Higher Base 246
10.2.2 A Longer Time to Maturity 247
10.3 Changing the Reference Index 249
10.3.1 A Higher Dividend Yield 249
10.3.2 A Basket of Indices 249
10.3.3 A Foreign Reference Index 250
10.4 Buying Less Protection 253
10.5 Piecewise Linear Segmentation of the Protection 253
10.6 Piecewise Linear Segmentation of the Upside 256
10.7 A Floating Cap on the Upside 259
10.8 Knock In and Knock Out Protection 261
10.9 Knock In and Knock Out Upside 263
10.10 Changing Exchange Rate Risk 265
10.11 An Asian Tail 267
xii Contents
10.12 Revised Monitoring of the Index 269
10.13 Additional Risks 269
10.14 One Last Trick 270
10.15 Conclusion 270
11 Market Timing and Non Bullish Views 273
11.1 Introduction 273
11.2 Timing Market Exit 273
11.2.1 Principal Protected Lookback and Ladder Bull Notes 274
11.2.2 Principal Protected Asian Bull Note 277
11.2.3 Principal Protected Cliquet Bull Note 277
11.3 Timing Market Entry 280
11.4 Notes for Non Bullish Views 282
11.4.1 Principal Protected Bear Note 283
11.4.2 Principal Protected Mixed and Chooser Notes 285
11.4.3 Principal Protected Neutral Note 287
11.4.4 Principal Protected Range Accrual Note 289
11.4.5 Principal Protected Knock Out Range Accrual Note 292
11.5 Notes Offering Improved Asset Allocation 296
11.6 Conclusion 300
12 Digital and Coupon Bearing Notes 301
12.1 Introduction 301
12.2 Digitalized Notes 301
12.2.1 Digital Principal Protected Bull Note 301
12.2.2 Digital Principal Protected Cliquet Bull Note 304
12.2.3 Bivariate Digital Principal Protected Cliquet Bull Note 306
12.2.4 Digital Principal Protected Range Accrual Note 309
12.2.5 Digital Principal Protected Knock Out Range
Accrual Note 310
12.3 Notes with Intermediate Coupons 313
12.3.1 Fixed Coupons 313
12.3.2 Index Linked Coupons 315
12.4 Conclusion 316
13 Equity Linked Saving 319
13.1 Introduction 319
Assumptions Notation 319
13.2 Unprotected Equity Linked Saving 319
13.3 Protected Equity Linked Saving 323
13.4 Alternative Hedges 324
13.5 The Marketer s Perspective 325
13.6 The Investor s Perspective 326
13.7 A Real Life Example 328
13.8 Variations in Protected Equity Linked Saving 329
13.8.1 The Disappointment Bonus 329
13.8.2 The Partial Cap 331
Contents xiii
13.8.3 Money Back Structures 332
13.8.4 Segmented Payoff Functions 332
13.8.5 Variations in Investor Payment 333
13.9 Conclusion 334
Appendix A 335
A.I S P500 335
A.2 Dow Jones Industrial Average 336
A.3 Eurotop 100 336
A.4 Eurostoxx 50 336
A.5 FTSE 100 337
A.6 DAX 337
A.7 AEX 337
A.8 SMI 337
A.9 CAC 40 337
A. 10 IBEX 35 338
A. 11 MIB 30 338
A. 12 Nikkei 225 338
A. 13 Hang Seng 338
A. 14 ASX All Ordinaries 339
Appendix B 341
Appendix C 345
Bibliography 347
Index 367
|
| any_adam_object | 1 |
| author | Kat, Harry M. |
| author_facet | Kat, Harry M. |
| author_role | aut |
| author_sort | Kat, Harry M. |
| author_variant | h m k hm hmk |
| building | Verbundindex |
| bvnumber | BV013882811 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)45958275 (DE-599)BVBBV013882811 |
| dewey-full | 332.63/2 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 |
| dewey-search | 332.63/2 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01668nam a2200445 c 4500</leader><controlfield tag="001">BV013882811</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20011001 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">010828s2001 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0471486523</subfield><subfield code="9">0-471-48652-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)45958275</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013882811</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-739</subfield><subfield code="a">DE-473</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.A3</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/2</subfield><subfield code="2">21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kat, Harry M.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Structured equity derivatives</subfield><subfield code="b">the definitive guide to exotic options and structured notes</subfield><subfield code="c">Harry M. Kat.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Chichester [u.a.]</subfield><subfield code="b">Wiley</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVIII, 372 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley finance series</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Derivativos</subfield><subfield code="2">larpcal</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Opções financeiras</subfield><subfield code="2">larpcal</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Exotic options (Finance)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Structured notes (Securities)</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Exotic options</subfield><subfield code="0">(DE-588)4450269-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Strukturiertes Finanzprodukt</subfield><subfield code="0">(DE-588)4656104-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Strukturiertes Finanzprodukt</subfield><subfield code="0">(DE-588)4656104-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Exotic options</subfield><subfield code="0">(DE-588)4450269-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009497788&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009497788</subfield></datafield></record></collection> |
| id | DE-604.BV013882811 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:53:44Z |
| institution | BVB |
| isbn | 0471486523 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009497788 |
| oclc_num | 45958275 |
| open_access_boolean | |
| owner | DE-739 DE-473 DE-BY-UBG |
| owner_facet | DE-739 DE-473 DE-BY-UBG |
| physical | XVIII, 372 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Kat, Harry M. Verfasser aut Structured equity derivatives the definitive guide to exotic options and structured notes Harry M. Kat. Chichester [u.a.] Wiley 2001 XVIII, 372 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Derivativos larpcal Opções financeiras larpcal Derivative securities Exotic options (Finance) Structured notes (Securities) Exotic options (DE-588)4450269-2 gnd rswk-swf Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd rswk-swf Strukturiertes Finanzprodukt (DE-588)4656104-3 s DE-604 Exotic options (DE-588)4450269-2 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009497788&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kat, Harry M. Structured equity derivatives the definitive guide to exotic options and structured notes Derivativos larpcal Opções financeiras larpcal Derivative securities Exotic options (Finance) Structured notes (Securities) Exotic options (DE-588)4450269-2 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd |
| subject_GND | (DE-588)4450269-2 (DE-588)4656104-3 |
| title | Structured equity derivatives the definitive guide to exotic options and structured notes |
| title_auth | Structured equity derivatives the definitive guide to exotic options and structured notes |
| title_exact_search | Structured equity derivatives the definitive guide to exotic options and structured notes |
| title_full | Structured equity derivatives the definitive guide to exotic options and structured notes Harry M. Kat. |
| title_fullStr | Structured equity derivatives the definitive guide to exotic options and structured notes Harry M. Kat. |
| title_full_unstemmed | Structured equity derivatives the definitive guide to exotic options and structured notes Harry M. Kat. |
| title_short | Structured equity derivatives |
| title_sort | structured equity derivatives the definitive guide to exotic options and structured notes |
| title_sub | the definitive guide to exotic options and structured notes |
| topic | Derivativos larpcal Opções financeiras larpcal Derivative securities Exotic options (Finance) Structured notes (Securities) Exotic options (DE-588)4450269-2 gnd Strukturiertes Finanzprodukt (DE-588)4656104-3 gnd |
| topic_facet | Derivativos Opções financeiras Derivative securities Exotic options (Finance) Structured notes (Securities) Exotic options Strukturiertes Finanzprodukt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009497788&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT katharrym structuredequityderivativesthedefinitiveguidetoexoticoptionsandstructurednotes |