Risk Management & Analysis V 2 - New Markets & Products

The author/editor has produced two stand-alone or companion volumes. Only one third of the original material remains.

New Markets and Products begins with two chapters on emerging markets. The book then goes on to cover markets and products of increasing complexity: standard equity and interest rate derivatives, exotic options, swap (and swaptions), volatility trading and finally credit derivatives.

The contributors are all acknowledged experts in their fields: Michael Howell, Mark Fox, Ian King, Chris Rogers, Andrew Street, Riccardo Rebonato, Edmond Levy, Bryan Thomas, Vincent Lacoste, Desmond Fitzgerald and Blythe Masters.

New Markets and Products will be an essential reference tool for risk managers, institutional investors, fund managers, bankers, corporate treasurers and financial consultants.

"In this volume Carol Alexander has gathered together ten articles that are concerned with important recent developments in financial markets. Two of the articles are concerned with emerging markets. They explore the reasons for their growth and the nature of the investment opportunities available. The remaining eight articles are concerned with derivatives. There are chapters on equity derivatives, interest rate derivatives, exotic options, volatility trading, and credit derivatives. The final chapter on credit derivatives is particularly timely. This market is in the process of transforming the way banks manage credit risk. I have seen no other discussion of the market as comprehensive and useful as that provided by Blythe Masters.

Market participants and students alike will find much useful and thought-provoking information in this volume."

- John Hull, August 1998

Carol Alexander obtained her PhD in Algebraic Number Theory, then worked at the Gemente Universiteit in Amsterdam and at UBS Phillips and Drew in London before joining the Mathematics Faculty of the University of Sussex in 1985. She holds a BSc in Mathematics with Experimental Psychology and an MSc in Econometrics and Mathematical Economics from the London School of Economics. Since 1990 Dr Alexander has been consulting, training, speaking at conferences, writing books and articles, and developing software in the areas of risk management and investment analysis. In 1996 she became the academic director of Algorithmics Inc (part-time) and in 1998 she eventually left the academic world to join Nikko Global Holdings as Director and Head of Market Risk Modelling. However, she retains a visiting fellowship at the University of Sussex. She has developed a number of computer programs and software packages for Risk and Investment analysis based on time series techniques. One of these was the winner of the first International Non-Linear Financial Forecasting Competition in 1997. Another used the concept of cointegration to build long-term index tracking tools for fund management, and long-short strategies for portfolio hedging. A third software module is based on her original research, using orthogonal factors to produce large GARCH covariance matrices for factor models.

"In what started as a second edition of the well received Handbook of Risk Management and Analysis, Carol Alexander has taken up the challenge of the increasing complexity of today's markets by selecting additional material to cover new aspects of risk modelling and new products, hence the present two volume edition. As before, the authors are well known not only for their expository skills. Sound theories and tried and tested methods are explained; new markets and products are clearly described. This is essential reading for the growing community of quantitatively-minded risk managers.", Dr Jacques Pezier, September 1998, , #

List of Contributors

About the Contributors

Preface

Foreword

Emerging Markets I, Michael J.Howell

Emerging Markets II, Mark Fox and Ian King

The Origins of Risk-Neutral Pricing and the Black-Scholes Formula, L.C.G. Rogers

Equity Derivatives, Andrew Street

Interest Rate Option Models: A Critical Survey, Riccardo Rebonato

Exotic Options I, Edmond Levy

Exotic Options II, Bryan Thomas

Captions and Swaptions, Vincent Lacoste

Trading Volatility, M. Desmond Fitzgerald

Credit Derivatives, Blythe Masters

Glossary Endnotes/References

Index