首发:2016年金融实战书籍,Manufacturing and Managing Customer-Driven Derivatives

shyyw

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收藏 2016-05-30

英文原版且非扫描,569页,适合衍生证券专业人士,内容概要如下:

[size=13.3333px]This book aims to present a holistic view of the customer-driven derivatives business,coupled with forensic quantitative model analyses from a practical perspective:

[size=13.3333px]It explains the life cycle of the derivative products, the manufacturing process of turning models into products, the key pillars of the business infrastructure and the regulatory framework, including Basel III and beyond.

[size=13.3333px]It explores quantitative pricing models and their applications, explaining various model paradigms and non-arbitrage models used in real equity and interest rate derivatives business. Smile/skew topics are examined in depth. The multi-curve environment and its practical impact on interest rate derivatives pricing are discussed extensively. Key derivative risks are also highlighted, and the focus is on combining or balancing the model simplicity with the necessity to capture the risks.

[size=13.3333px]It examines a wide range of customer-driven structured derivative products, their investment or hedging payoff features and associated risk exposures.

[size=13.3333px]It analyses a number of real-life derivatives embedded in real-life financial products,zooming into their risk characteristics.

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Manufacturing_and_Managing_Customer-Driven_Derivatives.pdf
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fin9845cl

2016-5-30 20:33:31

thanks for sharing !!!

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shyyw

2016-5-30 21:53:05

Dong Qu(本书作者,华人)obtained a BSc in Physics in China. He came to the UK to pursue
a higher degree and completed a PhD in Statistical Laser Optics from Imperial College
London. He started working in the City of London in the mid-1990s.
In the late-1990s, working with colleagues, Dong was instrumental in industrializing
barrier reverse convertibles, which have since become one of the most popular
structured products. The barrier protection mechanism designed to reduce the risk
of capital loss is now an industry-standard risk-reduction tool. It has become a stalwart
of the structured product markets and is embedded in many products such as
autocallables.
Dong is currently the global head of the quantitative product group at UniCredit,
having previously worked at banks including HSBC, Nikko and Abbey/Santander.
He has in-depth knowledge of customer-driven derivatives across major asset classes,
including equity, interest rate, FX, credit and real estate. He has spent many years
on derivative pricing and hedging models, associated trading and risk management
infrastructures, and has first-hand experience of how the customer-driven derivatives
industry is operating in the competitive business and regulatory environments.