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Structured Products AND equity linked notes

Posted: March 17th, 2007, 12:42 am
by KennyMing
I would like to ask is there any good reference books and research paper regarding the topic of structured products and equity linked notes? I wanna know the pricing model and their mechanism.I am looking forward to kindly reply.Great thanks.

Structured Products AND equity linked notes

Posted: March 17th, 2007, 2:01 am
by unkpath
yeah there happens to be a book, by Overhaus.

Structured Products AND equity linked notes

Posted: March 17th, 2007, 4:36 am
by KennyMing
Do you mean these two 1. Equity Derivatives: Theory and Applications (Hardcover) 2.Equity Hybrid Derivatives (Wiley Finance) (Hardcover) ?Actually, I have reviewed these books before, the content is quite well written. But, they don't teach you a lot on pricing the structured notes. Other than these two, I have reviewed another book as well. 3. Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes All of them are quite qualitative rather quantitative oriented.Cos I need to know how to price such kind of structured products and do the hedging as well as assessing the Value at risk. I have reviewed some paper related to pricing such kind of structured products. Most of them also make use of Monte Carlo Simulation to get the scenario of equity , index and stock prices. Other parameters like interest rate, volatility and correlation are estimated by Hull White interest rate model and Garch model respectively. Then input all the estimated parameters to the payoff of structured notes and get the payoff value.for example, Target redemption notes, equity linked note........Is it a common practice to price the structured products in banking industry? I wanna know the true story about the real practice in banking industry. I am looking forward to any kindly reply. Great thanks.

Structured Products AND equity linked notes

Posted: March 18th, 2007, 12:03 am
by unkpath
what makes you think that there is a one-stop reference for everything you have decided to get interested in?It doesn't work this way. In fact, I can tell you that if there were well elaborated cookbooks for everything you need, there would be no point for you coming into the game, because there would be no jobs. In fact the game has already changed a lot, because nowadays any idiot can price up almost any structured derivative in half an hour and that poses quite a few problems to many makers..... now, yes it is common practice for dealers to price structured products, coz they sell them dude. also, thereis no one stop book to allow you to learn that. it is a tricks of the trade kind of business, like anything of interest is anyway....my take is, do not waste too much on textbooks in life. the reason for this is that reading a few hundred pages of something written by the same guy, more often than not a brilliant guy, is a waste. try to get exposure as soon as possible and as much as you can to working papers, publications, etc....

Structured Products AND equity linked notes

Posted: March 18th, 2007, 12:09 am
by KennyMing
I understand your opinion. But, I am handling a research project about structured products and I wanna find a series of academic literature for my reference especially on pricing techniques.

Structured Products AND equity linked notes

Posted: March 19th, 2007, 8:15 am
by WilmottBookshop
Equity Derivatives, Equity Hybrid Derivatives and Structured Equity Derivatives are all instock and available from the Wilmott Bookshop.