Equity Derivatives Explained (eBook)

Mohamed Bouzoubaa is an experienced practitioner in the world of derivatives. He is currently Managing Director at Samurai Finance Consulting. Previously, he worked for Standard Chartered Bank in Singapore, where he was involved in modeling sophisticated commodity structures for institutional clients and creating commodity-linked financing and hedging solutions for corporate clients. His professional expertise spans the spectrum of topics in derivatives, having held positions as Head of Derivatives Trading and Structuring at CDG Capital, Equity Derivatives Sales at Société Générale in Paris, Risk and Fund Management expert at Sophis specializing in the risks involved in equity, credit and fixed income derivatives, and as a derivatives structurer at Bear Stearns/JP Morgan Chase in London. Mohamed holds Masters degrees in Financial Engineering and in Applied Mathematics and is co-author of the successful Exotic Options and Hybrids. Besides, he is a CFA charterholder and is an MBA lecturer at Singapore Management University.

Cover 1
Half-Title 2
Series 3
Title 4
Copyright 5
Dedication 6
Contents 7
List of Figures 9
1 Fundamentals 11
1.1 Stock Markets and Indices 11
1.2 Interest Rates and Dividends 12
1.3 Short Selling and Borrowing 18
1.4 Volatility Concepts 20
2 Inside the World of Equity Derivatives 24
2.1 The Sell Side 24
2.2 The Buy Side 29
3 Forwards, Futures and Swaps 32
3.1 Futures Markets 32
3.2 Forward Contracts 36
3.3 Equity Swaps 39
3.4 Dividend Swaps 45
4 Pricing Vanilla Options 48
4.1 European Calls and Puts 48
4.2 Hedging Cost Principle 53
4.3 Pricing Vanillas 55
4.4 American Options 59
4.5 Asian Options 62
5 Risk Management Tools 64
5.1 All About the Greeks 64
5.2 Greeks Closed Relationships 78
5.3 Choosing the Right Model 81
6 Strategies Built around Vanillas 83
6.1 Equity Hedging the Traditional Way 83
6.2 Vertical Spreads 87
6.3 Bear Put Spread 89
6.4 Collars and Three-Ways 91
6.5 Butterfly and Condor Spreads 93
6.6 Straddles and Strangles 96
7 Yield Enhancement Solutions 99
7.1 Equity Structured Notes 99
7.2 Playing with Volatility 101
7.3 Equity Dispersion Derivatives 103
7.4 Dynamic Indices 104
Index 106