Stress Testing: Approaches, Methods and Applications

Stress Testing: Approaches, Methods and Applications

Systemic Operational Risk

Systemic Operational Risk

Structured Products


“Structured products are among the fastest growing investment classes in world financial markets. One may dismiss such growth, one may partially acknowledge it as potentially responsive to a healthy matching of financial interests in markets. The latter perspective leads to an anticipation of long lasting and financial product creation” – from the Introduction, by Dilip Madan

Availability: In stock

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 Managment, 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, 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.

More Information
ISBN 9781904339618
Navision code MEOS
Publication date 1 Nov 2008
Size 155mm x 235mm
Write Your Own Review
You're reviewing:Structured Products
Your Rating

Clarke Pitts

Clarke Pitts worked for Salomon Brothers for seven years in London and New York, followed by Barclays in New York and Tokyo for two years and JP Morgan in Tokyo and London for eight years. His main areas of responsibilities were equities, convertibles and equity derivative trading. Clarke attended the London School of Economics and is currently based in London where he runs a small specialist fund for a group of former colleagues.


About the Editor

About the Authors


Dilip Madan


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


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


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


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