Edited by Dilip Madan, the leading expert in the structured products field, this collection of technical papers on this complex area is the third book in the new Cutting Edge series.

Structured Products is split into four arenas:

* Equity Product Designs
* Volatility Products
* Options on Baskets
* Calibration considerations

The selection of papers offers in depth descriptions of new products arising from a variety of sources including investor interest and the hedging capability for the seller and is recommended reading for anyone working in structured products, equity markets and asset managers. It will be of interest to anyone attempting to grasp the complexity and technical issues surrounding structured products.

Also available in the Risk Books Cutting Edge series:

Theory and Practice of Credit Risk Modelling, introduced by Alexander Lipton

Portfolio Management, introduced by Bernd Scherer

Risk Cutting Edge series:
The Risk Books Cutting Edge Series is a new series that presents key technical papers drawn from the Cutting Edge section of Risk, the world's leading financial risk management magazine. Each volume provides an introduction from an industry expert, and explores how academic thinking has developed over the years, how market applications and practitioner usage has evolved, and future developments in the field.

See other books in the series:

Theory and Practice of Credit Risk Modelling, introduced by Alexander Lipton

Portfolio Management, introduced by Bernd Scherer

Preface

About the Editor

About the Authors

Introduction

Dilip Madan

PART I EQUITY PRODUCT DESIGNS

1 Disease or Cure?

Robert Jarrow and Donald van Deventer

2 Steps to the Barrier

Vadim Linetsky

3 Static Barriers

Leif Andersen; Jesper Andreasen

4 Himalaya Options

Marcus Overhaus

5 New Products, New Risks

Richard Quessette

6 Maximum Draw-Down and Directional Trading

Jan Vecer

7 Information Derivatives

Andrei Soklakov

8 A Short Cut to the Rainbow

Per Hörfelt

PART II VOLATILITY PRODUCTS

9 Introducing the Covariance Swap

Peter Carr; Dilip Madan

10 Realised Volatility and Variance: Options via Swaps

Peter Carr; Roger Lee

11 Variance Swaps under No Conditions

Artur Sepp

12 Corridor Variance Swaps

Peter Carr; Keith Lewis

13 Variance Swaps and Non-constant Vega

David Kuenzi

14 Smile Dynamics

Lorenzo Bergomi

15 Smile Dynamics II

Lorenzo Bergomi

PART III OPTIONS ON BASKETS

16 What Is a BasketWorth?

Peter Laurence; Tai-Ho Wang

17 Index Volatility Surface via Moment-Matching Techniques

Peter Lee, Limin Wang and Abdelkerim Karim

18 Reconstructing Volatility

Marco Avellaneda, Dash Boyer-Olson, Jérôme Busca and Peter Friz

PART IV CALIBRATION CONSIDERATIONS

19 Exotic Spectra

Vadim Linetsky

20 Markovian Projection for Volatility Calibration

Vladimir Piterbarg

21 Calibrating and Pricing with Embedded Local Volatility Models

Yong Ren; Dilip Madan; Michael Qian Qian

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. He also serves as a consultant to Morgan Stanley, Caspian Capital LLC, and the FDIC. He is a founding member and immediate Past President of the Bachelier Finance Society, Co-Editor of Mathematical Finance and Associate Editor for the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the understanding and operation of efficient risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, The Journal of Computational Finance, among other Journals.