Structured Equity Derivatives - The Definitive Guide To Exotic Options & Structured Notes

Although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual design of derivatives contracts. Structured Equity Derivatives fills this gap in a remarkable way. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own derivatives solutions to an endless variety of problems. The approach is extremely natural - the only limit is the reader's own creativity. Since it clearly explains the reasons why derivatives exist and why there is such a large variety, this is the book that should be read before picking up any other book on the pricing and hedging of derivatives. As the book concentrates on product design instead of pricing, there are no complex pricing formulas or numerical procedures. The emphasis is on intuition and common sense rather than complex formal results, which makes the book accessible to people from many different backgrounds.

HARRY M. KAT has over 12 years of experience in global capital markets, lastly as Head of Equity Derivatives Europe at Bank of America in London. Prior to that he was Head of Derivatives Structuring and Marketing at First Chicago in Tokyo and Head of Derivatives Research at MeesPierson in Amsterdam. He holds MBA and PhD degrees in economics and econometrics from the University of Amsterdam and is a member of the editorial board of The Journal of Derivatives and The Journal of Alternative Investments. Dr Kat has published extensively in the field of derivatives in well-known journals such as The Journal of Financial Engineering, The Journal of Derivatives, Applied Mathematical Finance and Risk. He is currently Associate Professor of Finance at the ISMA Centre at the University of Reading (UK), where he lectures on financial engineering and structured derivatives, and acts as a consultant to a select number of asset managers and hedge funds.

Preface.

The General Framework.

Stocks and Stock Market Indices.

Special Contract Features.

Index-Linked Cash Flows.

Pricing and Hedging.

Improved Efficiency.

Risk Management.

Reducing the Costs of Buying Options.

Equity-Linked Bull Notes.

Raising the Participation Rate.

Market Timing and Non-Bullish Views.

Digital and Coupon Bearing Notes.

Equity-Linked Saving.

Appendix A.

Appendix B.

Appendix C.

Bibliography.

Index.