Equity Derivatives: Theory and Applications

Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods. Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.

Marcus Overhaus is Managing Director and Global Head of Quantitative Research at Deutsche Bank AG. He holds a Ph.D. in pure mathematics Andrew Ferraris is a Director in Global Quantitative Research at Deutsche Bank AG. His work focuses on the software design of the model library and its integration into client applications. He holds a D.Phil. in experimental particle physics Thomas Knudsen is a Vice President in Global Quantitative Research at Deutsche Bank AG. His work focuses on modeling volatility. He holds a Ph.D. in pure mathematics Ross Milward is a Vice President in Global Quantitative Research at Deutsche Bank AG. His work focuses on the architecture of analytics services and web technologies. He holds a B.Sc. (Hons.) in computer science Laurent Nguyen-Ngoc works in Global Quantitative Research at Deutsche Bank AG. His work focuses on Levy processes applied to volatility modeling. He is completing a Ph.D. in probability theory Gero Schindlmayr is an Associate in Global Quantitative Research at Deutsche Bank AG. His work focuses on finite difference techniques. He holds a Ph.D. in pure mathematics