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.

[size=13.3333px]