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1、TableofContentsPraiseTitlePageCopyrightPageDedicationListofSymbolsandAbbreviationsPrefacePartI-FoundationsChapter1-BasicInstruments1.1INTRODUCTION1.2INTERESTRATES1.3EQUITIESANDCURRENCIES1.4SWAPSChapter2-TheWorldofStructuredProducts2.1THEPRODUCTS2.2THES
2、ELLSIDE2.3THEBUYSIDE2.4THEMARKET2.5EXAMPLEOFANEQUITYLINKEDNOTEChapter3-VanillaOptions3.1GENERALFEATURESOFOPTIONS3.2CALLANDPUTOPTIONPAYOFFS3.3PUT-CALLPARITYANDSYNTHETICOPTIONS3.4BLACK-SCHOLESMODELASSUMPTIONS3.5PRICINGAEUROPEANCALLOPTION3.6PRICINGAEUROPE
3、ANPUTOPTION3.7THECOSTOFHEDGING3.8AMERICANOPTIONS3.9ASIANOPTIONS3.10ANEXAMPLEOFTHESTRUCTURINGPROCESSChapter4-Volatility,SkewandTermStructure4.1VOLATILITY4.2THEVOLATILITYSURFACE4.3VOLATILITYMODELSChapter5-OptionSensitivities:Greeks5.1DELTA5.2GAMMA5.3VEGA
4、5.4THETA5.5RHO5.6RELATIONSHIPSBETWEENTHEGREEKS5.7VOLGAANDVANNA5.8MULTI-ASSETSENSITIVITIES5.9APPROXIMATIONSTOBLACK-SCHOLESANDGREEKSChapter6-StrategiesInvolvingOptions6.1TRADITIONALHEDGINGSTRATEGIES6.2VERTICALSPREADS6.3OTHERSPREADS6.4OPTIONCOMBINATIONS6.
5、5ARBITRAGEFREEDOMOFTHEIMPLIEDVOLATILITYSURFACEChapter7-Correlation7.1MULTI-ASSETOPTIONS7.2CORRELATION:MEASUREMENTSANDINTERPRETATION7.3BASKETOPTIONS7.4QUANTITYADJUSTINGOPTIONS:“QUANTOS”7.5TRADINGCORRELATIONPartII-ExoticDerivativesandStructuredProductsCh
6、apter8-Dispersion8.1MEASURESOFDISPERSIONANDINTERPRETATIONS8.2WORST-OFOPTIONS8.3BEST-OFOPTIONSChapter9-DispersionOptions9.1RAINBOWOPTIONS9.2INDIVIDUALLYCAPPEDBASKETCALL(ICBC)9.3OUTPERFORMANCEOPTIONS9.4VOLATILITYMODELSChapter10-BarrierOptions10.1BARRIERO
7、PTIONPAYOFFS10.2BLACK-SCHOLESVALUATION10.3HEDGINGDOWN-AND-INPUTS10.4BARRIERSINSTRUCTUREDPRODUCTSChapter11-Digitals11.1EUROPEANDIGITALS11.2AMERICANDIGITALS11.3RISKANALYSIS11.4STRUCTUREDPRODUCTSINVOLVINGEUROPEANDIGITALS11.5STRUCTUREDPRODUCTSINVOLVINGAMER
8、ICANDIGITALS11.6OUTPERFORMANCEDIGITALChapter12-AutocallableStructures12.1SINGLEASSETAUTOCALLABLES12.2AUTOCALLABLEPARTICIPATINGNOTE12.3AUTOCALLABLESWITHDOWN-AND-INPUTS12.4MULTI-ASSETAUTOCALLABLESPartIII-MoreonExoticStructuresChapter13-Th
