This is a systematic classification and treatment of essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It aims to be an industry standard book on this subject. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic optics. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as Asian options with the underlying assets, etc. Most of the analyses in this book are within the Black-Scholes environment so that comparisons of each type of exotic options with the Black-Schles model can be made readily. Emphases have been paid to illustrate the ideas of products clearly and show how to use the pricing expressions conveniently. The book contains many pricing formulae and analyses which do not exist in the literature. The book is suitable for traders, analysts, risk managers, marketers, sales people, professionals in the derivatives industry, and financial professionals in general who have an interest in the concurrent status of the exotic derivatives market. It is also of great interest to professors and graduate students who want to catch up with the ever growing innovation process in the derivatives industry. Scientists, engineers, computer programmers, and other professionals may also find the book an efficient way to grasp some financial ideas and connect financial products with mathematical tools.
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Book Description
Editorial Reviews
About the Author
Dr Peter G Zhang is one of the youngest member in the International Association of Financial Engineers. He received a joint degree in economics and finance from the Southern Methodist University with a thesis on the effects of the trade in derivatives on the markets for the underlying equities. After teaching for a year in the School of Business at the Rutgers University and working for a time in the Research Division of the Standard & Poor, he is now the senior associate of the fixed-income derivatives and swaps department at the Union Bank of Switzerland, New York branch. He is an associate editor of the European Journal of Financial Management, recently taught the first course in "exotic derivatives" at the New York Institute of Finance.
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Most Helpful Customer Reviews
1 of 1 people found the following review helpful:
4.0 out of 5 stars
an insteresting book but.... too many mistakes!!,
By A Customer
This review is from: Exotic Options: A Guide to the Second Generation Options (Paperback)
I have just gradueted in Economic and Bussiness two months ago. The topic of my degree thesis was the barriers options, so I bought this Peter Zhang book. I think that it is a quite good book: easy to read, clear for its explanations but I found some mistakes in mathematical formulas. Here is the list: formula 10.25 page 212; formula 10.26b; formula 10.37 page 222; the example in page 232-233 is wrong because when the up-and-out call is valued the square symbol over the parameter v is missing; in page 236 the rebate growth rate is eta instead of gamma; formula 10.49b page 236; in formula 11.2 page 259 the correct parameter is gamma isnstead of f; in formula 11.27 page 277 UCDP is missing; formula 11.30 page 280; formula 11.34 page 281; formula 11.51 page 294. For more details about errata I found please e-mail elenaz@tin.it.
4.0 out of 5 stars
Detailed and unfortunately full of mistakes,
This review is from: Exotic Options: A Guide to the Second Generation Options (Paperback)
1. Excellent book to recommend to people who want to learn more on exotic options, but... 2. Two many mistakes in numerical examples, formulas, and even theorems !!, actually damaging the quality of the book. Since this is the second edition, the reader was prepared to get a cleaner version. I suggest the author creates a Web site for all these errors. 3. All these errors, typos, etc... make this book out of reach for those who want to use the formulas but have no idea on how to correct them... 4. Many very usefull ideas for structured derivatives desks
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