Options, Futures and Exotic Derivatives: Theory, Application and Practice (Frontiers in Finance Series)

"Over the past two decades, the mathematically complex models of finance theory have had a direct and wide-ranging influence on finance practice. Nowhere is this conjoining of intrinsic intellectual interest with extrinsic application better exemplified than in derivative-security pricing. The backgrounds of the authors of Options, Futures and Exotic Derivatives fit perfectly this pattern of combining theory and practice and so does their book. The range and depth of subject matter show excellent taste for what is essential to know the field and what is relevant and important to its application in the financial world. In addition to its fine subject-defining, the book delivers on subject-content, with rigorous derivations presented in a clear, direct voice for the serious student, whether academic or practitioner. To the reader: Bon Appetit!" Robert C. Merton, Harvard Business School Long-Term Capital Management, L.P. "One of the merits of this book is that it is self-contained. It is both a textbook and a reference book. It covers the basics of the theory, as well as the techniques for valuation of many of the more exotic derivatives. It contains a detailed knowledge of the field. What is more, however, it is written with a deep understanding of the economics of finance." From the Foreword by Oldrich Alfons Vasicek "The authors have done an admirable job at distilling what is relevant in option research in one single volume. I wish I'd had the chance to read it before writing my own book." Nassim Taleb, veteran option arbitrageur and bestselling author of Dynamic Hedging: Managing Vanilla and Exotic Options "This is a delightful promenade in derivatives land. The book is encyclopaedic yet crisp and inspired. It is the story - told in equations - of the charms and spells of options and their underlying mathematics." Jamil Baz, Head of Financial Strategies, Lehman Brothers Europe Building steadily from the basic mathematical tools to the very latest techniques in exotic options, Options, Futures and Exotic Derivatives covers all aspects of the most innovative and rapidly developing area of international financial markets - the world of over-the-counter and tailor-made derivative asset pricing. Written by a globally renowned team of authors this book offers comprehensive coverage of exotic derivative assets and
* Deals with numerous new forms of exotic options and option pricing
* Provides detailed explanations of different models and numerical methods
* Offers a deep understanding of the economics of finance
With questions and review sections throughout, Options, Futures and Exotic Derivatives provides a thorough introduction to a crucial and expanding area in the world of finance for both finance students and practitioners.

Mondher Bellalah is Professor of Financial Economics at Université du Maine, France. He also holds teaching and research positions at Université Paris-Dauphine, Université de Cergy-Pontoise and IHEC Tunis. He has been involved in financial engineering and market-making activities at BNP. He currently acts as a consultant for financial institutions. Options, Futures and Exotic Derivatives is his third finance text. His articles have also appeared in the Financial Review and the Journal of Futures Markets.

Dr Eric Briys is Director, International Fixed Income Research, at Lehman Brothers in London, UK. He was formerly Professor of Finance at Groupe HEC, one of Europe?s leading business schools, where he was head of the Finance and Economics Department and Dean of the MBA programme. He is the Editor of the Review of Derivatives Research and the former Editor of Finance, the journal of the French Finance Association. He has published widely in leading scientific journals such as the Journal of Finance, the Journal of Financial and Quantitative Analysis, and the American Economic Review.

Dr Huu Minh Mai holds a PhD in Finance from Université Paris-Dauphine. He is currently a financial statistician and a research officer at MONEP, the French Options Markets in Paris. Prior to joining MONEP he held research positions at Université-Paris Dauphine and Associés en Finance. His articles have appeared in Finance.

Dr François de Varenne is Head of Financial and Economic Affairs at the French Federation of Insurance Companies. He is also part-time lecturer at Groupe HEC and ISFA Lyon. A graduate of Ecole Polytechnique, he is a co-founder and co-principal of Dixon Associates, a consulting firm specialising in asset-liability management for insurance companies. He has widely published in leading scientific journals such as the Journal of Risk and Insurance and the Journal of Financial and Quantitative Analysis.