Exotic Options
This is the first systematic
and extensive book on exotic options. The book covers essentially all popular exotic
options currently trading in the Over-the-Counter (OTC) market, from digitals,quantos,
spread options, lookback options, Asian options, vanilla barrier options, to various types
of exotic barrier options and other options. Each type of exotic options is largely
written in a separate chapter, beginning with the basic concepts of the products and then
moving on to how to price them in closed-form solutions. Many pricing formulae and
analysys which have not previously appeared in the literature are included and illustrated
with detailed examples. It will be of great interest to traders, marketers, analysts, risk
managers, professors, graduate students, and anyone who is interested in what is going on
in the rapidly changing financial market.
"He has put together
a comprehensive book on exotic option pricing, showing this to be possible without the
measure theory twaddle. It takes the reader through the entire spectrum of products in an
organized way and provides most necessary formulas as well as the intuition of their
derivation... There is no other place where one can find all the pricing tools gathered
together, which allows one to price an option without sneezing from the dust of stacks of
journal articles...The author does a good job when be limits his role to providing a
complete pricing encyclopedia..... This is the most complete conventional option pricing
book currently available." Nassim Taleb, Derivatives Strategy
Dr Peter G Zhang is author of
numerous articles published in both academic and professional journals on derivatives,
especially on exotic options. He taught the first class on exotic options at the New York
Institute of Finance. After teaching at the School of Business at Rutgers University for a
year, he joined MMS International (Standard and Poor's Group) as an option specialist. He
worked in the New York office of UBS (Union Bank of Switzerland) Securities as a senior
associate and then joined Chemical Bank (now Chase Manhattan Bank) in 1995. He was
Vice-President at Chase Securities, Tokyo Office. He is an associate editor to the
Journal of European Management and author of the newly published book Barings
Bankruptcy and Derivatives. He travels extensively around the globe to give presentations
on options and risk management.
679 pages