Exotic Options - Risk Books
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Exotic Options

Edited By Alexander Lipton


Brings to hand the very greatest authorities on exotic options modelling, pricing and hedging to arm you with all the necessary knowledge and practical ability you need to master these techniques.

Publish date: 1 Apr 2003

Availability: In stock


Book description

  • Provides all the insight and explanation you need in order to understand and apply all recent methodologies in the area of exotic options pricing and hedging
  • Allows you to closely follow various cutting-edge products and methodologies that significantly extend the Black-Scholes framework
  • Presents models and techniques that have explicit practical as well as theoretical value
  • Edited collection of 42 articles compiled from Risk magazine featuring contributions from the top names in the field including: Peter Carr, Emanuel Derman, Claudio Albanese and Dilip Madan

Book details

Publish date
1 Apr 2003

Editor biography

Alexander Lipton

Alexander Lipton is a Managing Director, Quantitative Solutions Executive at Bank of America, and a Visiting Professor of Quantitative Finance at the University of Oxford. Prior to his current role, he was a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial College London. Previous to this he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University. His current interests include industrial strength derivative pricing including regulatory and economic capital calculations and valuation adjustments, as well as large-scale holistic bank balance sheet optimization. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of four more, including, most recently, The Oxford Handbook of Credit Derivatives (jointly with Andrew Rennie). He has published more than a hundred papers on hydrodynamics, magnetohydrodynamics, astrophysics, chemical physics, and financial engineering. Alex is a founding patron of The 14-10 Club at the Royal Institution (jointly with David Harding). Alex is an avid collector of military optics and is currently working on a book on the history of military binoculars.

Table of contents

Volatility I: Quantitative and Qualitative Description

  • Correcting Black-Scholes

Michael Kamal and Emanuel Derman

  • Regimes of Volatility

Emanuel Derman

  • If the skew fits

Gregory Brown and Curt Randall

  • Uncertain volatility

Terry Lyons and Adam T Smith

  • Jumping smiles

Leif Andersen and Jesper Andreasen

  • Calibrating Random Volatility

Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar

  • A mixed up smile

Damiano Brigo and Fabio Mercurio

  • A fair value for the skew

Joe Zou and Emmanuel Derman

  • Principles of the skew

Carol Alexander

  • Crises and Volatility

Allan Malz

  • The vol smile problem

Alexander Lipton

  • Trees from history

Nusrat Cakici and Kevin Foster

  • Reconstructing volatility

M.Avellaneda, Dash Boyer-Olson, Peter Friz and Jerome Busca

  • Volatile volatilities

Leif Andersen and Jesper Andreasen

Volatility II: Vol Swaps

  • Introducing the covariance swap

Peter Carr and Dilip Madan

  • A guide to variance swaps

Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou

  • Market risk of variance swaps

Neil Chriss and William Morokoff

  • Volatility Swaps Made Simple

Oliver Brockhaus and Douglas Long

Exotic Options: Products and Methods

  • Similarities via self-similarities

Alexander Lipton

  • Pricing exotics under the smile

Klaus Said

  • Upgrading your passport

Jan Vecer and Steven Shreve

  • Going with the flow

Peter Carr, Alexander Lipton and Dilip Madan

  • Static barriers

Leif Andersen and Jesper Andreasen

  • Jumping in line

Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov

  • Hedge your Monte Carlo

Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic

  • Behind the Mirror

Jesper Andreasen

  • Black-Scholes goes hypergeometric

Claudio Albanese, Guiseppe Campolieti, Peter Carr and Alexander Lipton

  • New products, new risks

Richard Quessette

  • Himalaya Options

Marcus Overhaus

  • Exotic Spectra

Vadim Linetsky

  • Universal barriers

Alexander Lipton and William McGhee

  • Unified Asian pricing

Jan Vecer

  • Assets with jumps

Alexander Lipton

  • Why Be Backward?

Peter Carr and Ali Hirsa

Exotic Underlyers

  • Hedging under asymmetry

Angelo Arvanitis and Jean-Michel Lasry

  • Insurance Optional

Claudio Giraldi, Gabriele Susinno, Giacomo Berti, John Brunello, Silvia Buttarazzi, Gianluca Cenciarelli, Carlo Daroda and Giuseppe Stamegna

  • Pricing the Weather

Melanie Cao and Jason Wei

  • Hedging electoral risk

Steve Kou and Michel Sobel

  • Plugging into electricity

Helyette Geman and Oldrich Vasicek

  • Mean-reverting Smiles

Alain Chebanier and David Beaglehole

  • Substitute Hedging

Vicky Henderson and David Hobson

  • A Two-factor mean-reverting model

David Beaglehole and Alain Chebanier

NB - This table of contents is provisional until final publication of the book. Small changes to chapter titles and sequence may occur.


Contingency Analysis Top Ten Book of 2003

"You will love the many practical insights the 42 papers offer"

Glyn Holton, Contingency Analysis

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