References for Structuring and Pricing Exotic Equity Derivatives
Summary
This document collects book recommendations for readers seeking practical guidance on equity derivatives such as autocalls, lookbacks, reverse convertibles, and principal-protected notes. The suggested references vary in emphasis: some explain product structures, while others discuss pricing, hybrids, or applied quantitative methods. The responses also mention that dealer primers may provide examples of exotic products, though their sales purpose can limit the depth of technical detail.
The recommendations are pointers rather than a tutorial. The discussion does not compare models, Monte Carlo implementations, or production algorithms in detail, and it gives no evidence about the relative quality or current availability of the books. One cited guide is specifically described as useful for explaining products but not especially deep on pricing; another is noted for pricing discussions of equity hybrids involving rates or credit. Readers should therefore match a reference to whether they need product intuition, structuring practice, or quantitative pricing techniques.
Key ideas
- The recommended reading spans product structure, exotic options, and equity derivatives pricing.
- Some references focus more on explaining products than on detailed pricing methods.
- Equity hybrid derivatives books may be useful for pricing discussions involving rates or credit.
- Dealer primers can introduce exotic products, but their sales purpose may limit technical depth.
- The recommendations do not provide a direct comparison of production algorithms or simulation methods.
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Full text
# What book(s) would you recommend for structuring and pricing Exotic Products? # What book(s) would you recommend for structuring and pricing Exotic Products? I've been looking for good books on structuring equity derivatives (Principal Protected Notes, Autocalls, Lookbacks, Reverse Convertibles etc). I only found ones that discuss mainly the theoretical aspect (stochastic calculus, arbitrage pricing theory etc) but would like something that talks mainly about the practical aspects of pricing these derivatives and how to actually structure them. For example: the actual Monte Carlo methods applied, the different algos used in production, the various models and so on. Thanks. ## Answer by user42108 (score 3) https://quant.stackexchange.com/a/58249 "Applied Quantitative Finance for Equity Derivatives" by Jherek Healy might be of interest to you though it's not focused specifically on exotics. The sellside (especially French banks) should have primers on exotics though given they're effectively sales pitches, they might not have the detail you're looking for. ## Answer by user35980 (score 2) https://quant.stackexchange.com/a/58240 Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading, Wiley, 2010. https://www.amazon.co.uk/dp/B003F8S7B8/ref=dp-kindle-redirect?_encoding=UTF8&btkr=1 was quite interesting, and I think you can probably find it on the web somewhere. ## Answer by develarist (score 1) https://quant.stackexchange.com/a/58241 Satyajit Das Structured Products Volume 1: Exotic Options; Interest Rates and Currency (The Das Swaps and Financial Derivatives Library) to volume 3 ## Answer by Dimitri Vulis (score 1) https://quant.stackexchange.com/a/58248 Since other answers already mentioned Das vol 1 and vol 2 ; and Bouzoubaa and Osseiran, I would like to add the good old: - Harry Kat. Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes. Wiley (2001) (not a very deep discussion of pricing, but good explanation of the product). - Marcus Overhaus, Ana Bermudez, Hans Buehler, Andrew Ferraris, Christopher Jordinson, Aziz Lamnouar. Equity Hybrid Derivatives. Wiley (2007) - the focus is mostly on hybrids (equity and rates or equity and credit) but the pricing discussions are very good.
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