Finance

Download Manufacturing and Managing Customer-Driven Derivatives by Dong Qu PDF

By Dong Qu

Manufacturing and dealing with Customer-Driven Derivatives

Manufacturing and handling Customer-Driven Derivatives sheds gentle on customer-driven by-product items and their production technique, that can turn out a sophisticated subject for even skilled monetary practitioners. This authoritative textual content deals updated wisdom and practices throughout a vast variety of subject matters that handle the total production, pricing and possibility administration approach, together with sensible wisdom and business most sensible practices. This source blends quantitative and company views to supply an in-depth knowing of the spinoff possibility administration talents which are essential to undertake within the aggressive monetary industry.

Manufacturing and handling customer-driven spinoff items became extra advanced because of macro elements reminiscent of the multi-curve environments prompted by way of the hot monetary crises, stricter regulatory specifications of constant modelling and handling frameworks, and the necessity for risk/reward optimisation.

  • Explore the basic parts of the derivatives company, together with fairness derivatives, rates of interest derivatives, genuine property derivatives, and actual existence derivatives, etc.
  • Examine the existence cycle of producing spinoff items and functional pricing models
  • Deep dive right into a wide selection of customer-driven based spinoff items, their funding or hedging payoff positive aspects and linked threat exposures
  • Examine the results of adjusting regulatory criteria, which may bring up expenditures within the banking sector
  • Discover functional but subtle product research, quantitative modeling, infrastructure integration, hazard research, and hedging analysis
  • Gain perception on how banks may still deal with advanced derivatives products

Manufacturing and handling Customer-Driven Derivatives is a necessary advisor for quants, structurers, derivatives investors, possibility managers, company executives, coverage pros, hedge fund managers, educational teachers, and fiscal math scholars who're attracted to the larger photo of the producing, pricing and possibility administration technique of customer-driven by-product transactions.

"Like many of us at the quantitative part of finance I’ve frequently puzzled why and the way the extra complicated derivatives are created. I suggest, many of the time period sheets I’ve visible are only downright extraordinary. good, due to Dong Qu, the professional in either quant finance and the enterprise aspect, now i do know. Dong covers every thing from inventive rules, state specifics, regulatory concerns, and tax implications, to modeling and probability administration. this can be a very good e-book, designated for its breadth of insurance, surely for the complete company of quantitative finance."
Paul Wilmott, Wilmott Magazine

"With such a lot of books available in the market on derivatives pricing, i presumed it was once very unlikely to put in writing a brand new, unique one. Dong Qu proved i used to be incorrect. not just does this quantity specialise in the most industry-standard pricing types, it additionally sheds mild at the regular workflow and improvement technique of derivatives contracts in banks, from quant library layout to assembly new regulatory risk-management necessities. I want this ebook used to be in the market whilst i began my occupation as a front-office quant!"
Fabio Mercurio, worldwide Head of Quant Analytics, Bloomberg

"Everything you usually desired to find out about monetary derivatives yet have been afraid to invite may be the name of this ebook. Written through an writer with over two decades of expertise within the undefined, this e-book joins sensible hedging, hazard administration and rules matters with subtle but no longer overly advanced maths. An absolute needs to for all practitioners and intensely informative for academicians."
Dariusz Gatarek, Professor, Polish Academy of Sciences

"This e-book has been expertly written from a practitioner’s standpoint. Dong Qu makes use of his huge adventure of operating in significant worldwide banks to create an operationally suitable textbook, providing a variety and subject material that is very readable and appropriate in today’s monetary markets. He writes in actual fact and authoritatively on all features of the life-cycle, production and rules of based items. He additionally makes use of his mathematical abilities to discover and obviously clarify pricing types, when by no means ignoring the practicalities of using quantitative types to real probability administration requirements."
Andrew legislation, international Head of Institutional revenues & Structuring, financial institution of eire worldwide Markets

Show description

Read Online or Download Manufacturing and Managing Customer-Driven Derivatives PDF

Best finance books

Understanding the Crash

Realizing the Crash begins with an easy query that also haunts us all: What has occurred to the realm financial system? With the type of notable precision that simply image nonfiction delivers, Seth Tobocman and Eric Laursen clarify simply how we obtained into this mess — and the way we will get out of it.

Clark Howard's Living Large for the Long Haul: Consumer-Tested Ways to Overhaul Your Finances, Increase Your Savings, and Get Your Life Back on Track

The follow-up to Clark Howard's number 1 ny occasions bestseller, residing huge in Lean occasions, bargains no-nonsense monetary advice for reaching lifelong prosperity

Americans from all walks of existence are nonetheless feeling the roller-coaster results of the nice Recession. for lots of, domestic values are nonetheless too low and unemployment continues to be too excessive. Others have prospered regardless of the ups and downs. In Clark Howard's dwelling huge for the lengthy Haul, the popular broadcaster examines our new paradigm throughout the eyes of these whose monetary portfolios have crushed the percentages, and people whose financial scenario has long gone off target. via those interesting own money owed, readers discover extraordinary possibilities and shrewdpermanent judgements, discovering benefits in bleak occasions for lasting payoffs ultimately.

The Great American Dividend Machine: How an Outsider Became the Undisputed Champ of Wall Street

Invoice Spetrino used to be simply a regular accountant greater than two decades in the past while he came upon the simplest funding mystery ever. invoice calls his mystery “the dividend machine” -- and he has been sharing his secrets and techniques with thousands of traders who've subscribed to his well known Dividend laptop publication, rated by means of Hulbert Digest because the number 1 low possibility funding letter.

Islamic Capital Markets: Volatility, Performance and Stability

This publication addresses modern empirical concerns in Islamic inventory markets together with volatility, potency and Sukuk defaults. The experiences contained inside of this publication think of a mix of natural Islamic inventory markets and comparative reports, as regards to their traditional opposite numbers. The authors offer updated, powerful, exact, trustworthy empirical enquiries addressing present problems with inventory markets in addition to supplying brand new details and statistics to help destiny improvement and study.

Additional info for Manufacturing and Managing Customer-Driven Derivatives

Sample text

Overall the volume of issuance with equities as underlyings is broadly similar to those with interest rates as underlyings. The issuances of certificates linked to equity underlyings are on the rise in the low interest rate and low inflation environment. For the equity-linked products, single index and single stocks are the two key categories of underlyings. 2 illustrates the proportions of the two classes of underlyings over a 4-year period. During this particular sample period, the volumes of single stock products had increased relative to the single index.

The pricing of the products must include the counterparty (issuer) risks and it is typically manifested in issuer’s funding spread. Wrapper Categories Structured products are distributed to investors via different channels in various wrappers. Different wrappers have different features and benefits. g. indd 12/26/2015 Page 33 33 Pillars in Structured Derivative Business their subsequent tax and financial protection treatment. Naturally, different jurisdictions have different preferences in terms of meeting investors’ needs.

Independent Model Validation Independent Model Validation (IMV) is based on the foureyes principle to verify the model theory and test the model implementation. In practice, IMV develops its own equivalent models independently to conduct model comparison and testing. The actual model testing tends to be a large part of the work, as many implementation details need to be verified. Once the models have been tested and approved by IMV, they can be released into production for pricing and hedging. It is the best practice that IT carries out the model release into trading and risk production systems independent of quants and trading.

Download PDF sample

Rated 4.56 of 5 – based on 22 votes