EXOTIC DERIVATIVES AND RISK

This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.

To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.

Contents:

Derivatives and Asset Pricing in a Discrete-Time Setting: Basic Concepts and Strategies
Option Pricing in Continuous-Time: The Black–Scholes–Merton Theory and Its Extensions
Exchange, Forward Start, Chooser Options and Their Applications
Rainbow Options and Their Applications
Extendible Options and Their Applications
Currency Translated Options, Hybrid Securities and Their Applications
Binaries, Barriers and Their Applications
Lookback Options, Double Lookback Options and Their Applications
Asian and Flexible Asian Options and Their Applications
Steps, Parisian and Static Hedging of Exotic Options
Value at Risk: Basic Concepts and Applications in Risk Management
Credit Risk and Credit Valuation: The Basic Concepts
Credit Derivatives: The Basic Concepts
Default Risk and the Pricing of Corporate Bonds, Swaps and Options
Contingent Claims Analysis and Its Applications in Corporate Finance: The Case of Real Options
Extended Discounted Cash Flow Techniques and Real Options Analysis within Information Uncertainty
Option Pricing When the Underlying Asset is Nonobservable

Readership: Academicians, MBA/postgraduate students, businessmen and professionals in the finance industry.

“Herein follows a remarkable volume, suitable as both a textbook and a reference book. Mondher Bellalah starts with an introduction to options and basic hedges built from specific options. He then presents an accessible account of the formulae used in valuing options … Bellalah then proceeds to the main task of the volume, to show how to value an endless assortment of exotic options.”

Harry M Markowitz

University of California, San Diego1990 Nobel Prize Laureate in Economics

“This book is well-organized, thoughtful and important to those interested in not only derivative theory but also its applications to solving practical problems.”

Myron Scholes
Stanford University1997 Nobel Prize Laureate in Economics

“Mondher Bellalah offers a lucid and comprehensive introduction to the important field of modern asset pricing. He offers a step-by-step introduction to this evolving theory starting from its classical foundations. He takes the reader to the frontier by systematically building up the theory. His examples and intuition are splendid and the formal proofs are clearly stated and built on each other. I strongly recommend this book to anyone seeking to gain a deep understanding of the intricacies of asset pricing.”

James J Heckman
University of Chicago & University College Dublin2000 Nobel Prize Laureate in Economics

“Exotic Derivatives and Risk: Theory, Extensions and Applications is a lucid textbook treatment of the principles of derivatives pricing and hedging. At the same time, it is an exhaustively comprehensive encyclopedia of the vast array of exotic options, fixed-income options, corporate claims, credit derivatives, and real options. Written by an expert in the field, Mondher Bellalah's comprehensive and rigorous book is an indispensable reference on any professional's desk.”

George M Constantinides
Leo Melamed Professor of Finance
Graduate School of Business, The University of Chicago

616pp		Pub. date: Nov 2008
ISBN: 978-981-279-747-6 981-279-747-5		US$117 / £68

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