Titlebook: Equity Derivatives and Hybrids; Markets, Models and Oliver Brockhaus Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 equiti

conservative

Exotic Equity Derivatives,Introducing a knock-out barrier reduces the price of a Vanilla option. An investor may be willing to take the risk of the underlying trading at the barrier level against this sure profit. This will be the case especially if gains on the remaining portfolio offset any losses due a barrier event.

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繁忙

Dividends,One of the attractive features of stocks is that the holder is entitled to dividends. Dividend levels, payment and ex-dates are typically stable and known in advance but are sometimes adjusted by the board of management.

Occupation

Copulas,Copulas have many applications within financial modelling, including the repre-sentation of the joint distribution of

類人猿

Fixed Income,Fixed income is at the core of financial modelling. Before considering assets such as stocks, currencies, commodities or credit events it is necessary to value future cash flows.

油氈

Defaultable Equity,Derivatives that require incorporation of default of the underlying’s issuer include derivatives on single stock, in particular convertible bonds.

exacerbate

有偏見

Foreign Exchange,Foreign exchange rates are defined by both domestic and foreign currency. These concepts are symmetric in the sense that for a foreign investor my domestic currency is her foreign currency. For example, a European investor may buy 1$ at today’s exchange rate of 0.75€.

強制性

Affine Processes,Closed form pricing via Fourier transform methods is the basis for many stochastic volatility models. A general framework has been formulated by Duffie, Pan and Singleton (2000).

preservative

Gauss,This chapter collects (and derives) closed form formulae for integrals related to Brownian motion for reference elsewhere in the book. It includes Black-Scholes and Bachelier formulae, as well as a range of barrier products.