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PART Two: Equity Interest Rate Hybrids
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PART Two: Equity Interest Rate Hybrids
by AZIZ LAMNOUAR, CHRISTOPHER JORDINSON, ANDREW FERRARIS, HANS BUEHLER, ANA BERMúDE
Equity Hybrid Derivatives
Cover Page
Title Page
Copyright
Contents
Preface
PART One: Modeling Volatility
CHAPTER 1: Theory
1.1 CONCEPTS OF EQUITY MODELING
1.2 IMPLIED VOLATILITY
1.3 FITTING THE MARKET
1.4 THEORY OF REPLICATION
CHAPTER 2: Applications
2.1 CLASSIC EQUITY MODELS
2.2 VARIANCE SWAPS, ENTROPY SWAPS, GAMMA SWAPS
2.3 VARIANCE SWAP MARKET MODELS
PART Two: Equity Interest Rate Hybrids
CHAPTER 3: Short-Rate Models
3.1 INTRODUCTION
3.2 ORNSTEIN-UHLENBECK MODELS
3.3 CALIBRATING TO THE YIELD CURVE
3.4 CALIBRATING THE VOLATILITY
3.5 PRICING HYBRIDS
3.6 APPENDIX: LEAST-SQUARES MINIMIZATION
CHAPTER 4: Hybrid Products
4.1 THE EFFECTS OF ASSUMING STOCHASTIC RATES
4.2 CONDITIONAL TRIGGER SWAPS
4.3 TARGET REDEMPTION NOTES
4.4 CONVERTIBLE BONDS
4.5 EXCHANGEABLE BONDS
CHAPTER 5: Constant Proportion Portfolio Insurance
5.1 INTRODUCTION TO PORTFOLIO INSURANCE
5.2 CLASSICAL CPPI
5.3 RESTRICTED CPPI
5.4 OPTIONS ON CPPI
5.5 NONSTANDARD CPPIS
5.6 CPPI AS AN UNDERLYING
5.7 OTHER ISSUES RELATED TO THE CPPI
5.8 APPENDIXES
PART Three: Equity Credit Hybrids
CHAPTER 6: Credit Modeling
6.1 INTRODUCTION
6.2 BACKGROUND ON CREDIT MODELING
6.3 MODELING EQUITY CREDIT HYBRIDS
6.4 PRICING
6.5 CALIBRATION
6.6 INTRODUCTION OF DISCONTINUITIES
6.7 EQUITY DEFAULT SWAPS
6.8 CONCLUSION
PART Four: Advanced Pricing Techniques
CHAPTER 7: Copulas Applied to Derivatives Pricing
7.1 INTRODUCTION
7.2 THEORETICAL BACKGROUND OF COPULAS
7.3 FACTOR COPULA FRAMEWORK
7.4 APPLICATIONS TO DERIVATIVES PRICING
7.5 CONCLUSION
CHAPTER 8: Forward PDEs and Local Volatility Calibration
8.1 INTRODUCTION
8.2 FORWARD PDEs
8.3 PURE EQUITY CASE
8.4 LOCAL VOLATILITY WITH STOCHASTIC INTEREST RATES
8.5 CALIBRATING THE LOCAL VOLATILITY
8.6 SPECIAL CASE: VASICEK PLUS A TERM STRUCTURE OF EQUITY VOLATILITIES
CHAPTER 9: Numerical Solution of Multifactor Pricing Problems Using Lagrange-Galerkin with Duality Methods
9.1 INTRODUCTION
9.2 THE MODELING FRAMEWORK: A GENERAL D-FACTOR MODEL
9.3 NUMERICAL SOLUTION OF PARTIAL DIFFERENTIAL INEQUALITIES (VARIATIONAL INEQUALITIES)
9.4 NUMERICAL SOLUTION OF PARTIAL DIFFERENTIAL EQUATIONS (VARIATIONAL EQUALITIES): CLASSICAL LAGRANGE-GALERKIN METHOD
9.5 HIGHER-ORDER LAGRANGE-GALERKIN METHODS
9.6 APPLICATION TO PRICING OF CONVERTIBLE BONDS
9.7 APPENDIX: LAGRANGE TRIANGULAR FINITE ELEMENTS
CHAPTER 10: American Monte Carlo
10.1 INTRODUCTION
10.2 BROADIE AND GLASSERMAN
10.3 REGULARLY SPACED RESTARTS
10.4 THE LONGSTAFF AND SCHWARTZ ALGORITHM
10.5 ACCURACY AND BIAS
10.6 PARAMETERIZING THE EXERCISE BOUNDARY
Bibliography
Index
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CHAPTER 2: Applications
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CHAPTER 3: Short-Rate Models
PART Two
Equity Interest Rate Hybrids
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