nach oben

Erschienen in:

2013 | OriginalPaper | Buchkapitel

13. Case Studies: Exotic Derivatives

verfasst von : Hansjoerg Albrecher, Andreas Binder, Volkmar Lautscham, Philipp Mayer

Erschienen in: Introduction to Quantitative Methods for Financial Markets

Verlag: Springer Basel

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

Today’s financial markets offer a wide range of complex financial products. In this chapter we will introduce several structured financial instruments and discuss ideas for their valuation. The exercises at the end of the chapter will then further illustrate the specific features of the presented instruments.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Vorheriges Kapitel Calibrating Models – Inverse Problems

Nächstes Kapitel Portfolio Optimization

French telecom companies (e.g. France Telecom) issued a large volume of convertible bonds around the year 2000. Sometimes one distinguishes between convertible bonds and exchangeable bonds. While convertibles are issued by the company that offers to exchange the bonds against its own stocks in the future, exchangeable bonds are typically issued by third parties that would like to sell stocks in a venture in the future (e.g. for planned privatization of companies owned by public entities)

‘It is difficult to make predictions, especially about the future.’ (accredited to Mark Twain)

The proof of the theorem for arbitrary μ and σ builds on arguments of stochastic analysis which are beyond the scope of this text. For details, see e.g. Karatzas & Shreve [45].

This intuitive property is a consequence of the strong Markov property of the Brownian motion, and a mathematically rigorous proof is given in the theory of stochastic processes.

A pre-payment option is the right of the borrower to repay at least parts of the (loan) principal early. If the possibility to pre-pay is restricted to a discrete number of pre-payment dates, the right (option) will be called Bermudan.

The term ‘snowball’ is based on the image that a snow ball (as used when building a snowman) becomes increasingly bigger as it is rolled in the snow.

CMS is short for constant maturity swap. Concretely, CMS10Y denotes the 10-year swap rate as quoted by ISDAFIX. The term ‘constant maturity’ hereby refers to the fact that the swap rates are always quoted for the same term (e.g. 10 years from the quote day for the CMS10Y).

19.

R.-A. Dana and M. Jeanblanc. Financial Markets in Continuous Time. Springer Finance. Springer-Verlag, Berlin, 2003.

45.

I. Karatzas and S. E. Shreve. Brownian Motion and Stochastic Calculus. 2nd edition. Springer-Verlag, Berlin, 1998.

Titel: Case Studies: Exotic Derivatives
verfasst von: Hansjoerg Albrecher
Andreas Binder
Volkmar Lautscham
Philipp Mayer
Verlag: Springer Basel
Buch: Introduction to Quantitative Methods for Financial Markets
Print ISBN: 978-3-0348-0518-6

Electronic ISBN: 978-3-0348-0519-3

Copyright-Jahr: 2013
DOI: https://doi.org/10.1007/978-3-0348-0519-3_13