Pricing and Hedging Financial Derivatives: A Guide for Practitioners

  • 6h 25m
  • Irene Perdomo, Leonardo Marroni
  • John Wiley & Sons (US)
  • 2014

One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart.

  • Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets
  • Provides expert guidance on the development of structured products, supplemented with a range of practical examples
  • Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs

About the Author

LEONARDO MARRONI is an asset manager with the Emerging Markets team at GLG Partners in London. He joined in January 2010 from Barclays where he was working as a structurer in the commodities division. Before joining Barclays, Leonardo worked in the equity structured products trading team at Banca Caboto in London where he was responsible for structuring and trading algorithmic products. Prior to this, Leonardo was part of the interest rates derivatives trading team at Banca Caboto in Milan. Leonardo graduated in Economics from Bocconi University in Milan.

In this Book

  • An Introduction to the Major—Asset Classes
  • Derivatives: Forwards, Futures and Swaps
  • Derivatives: Options and Related Strategies
  • Binomial Option Pricing
  • The Fundamentals of Option Pricing
  • Implied Volatility and the Greeks
  • Volatility Smile and the Greeks of Option Strategies
  • Exotic Derivatives
  • Multi-Asset Derivatives
  • Structured Products

YOU MIGHT ALSO LIKE

Book A Practitioner's Guide to Asset Allocation: From Theory to Practice and Beyond
Book Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing
Book Quantitative Equity Portfolio Management, Second Edition: An Active Approach to Portfolio Construction and Management