Abstract

http://ssrn.com/abstract=2262941
 


 



Deriving Derivatives


Andrei N. Soklakov


Deutsche Bank AG (London)

April 30, 2013


Abstract:     
We review the current practice in the design of investment products. It turns out that the quality of products can be substantially improved with a relatively small quantitative effort. Recognizing financial products as the ultimate output of our industry this approach puts demands on support infrastructure such as pricing models. This allows for critical review of modelling assumptions and leads to economically meaningful approach to model risk.

Number of Pages in PDF File: 13

Keywords: Optimal investments, Derivatives, Structuring, Model Risk

JEL Classification: C00, D83, G00

working papers series





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Date posted: May 10, 2013  

Suggested Citation

Soklakov, Andrei N., Deriving Derivatives (April 30, 2013). Available at SSRN: http://ssrn.com/abstract=2262941 or http://dx.doi.org/10.2139/ssrn.2262941

Contact Information

Andrei N. Soklakov (Contact Author)
Deutsche Bank AG (London) ( email )
Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom
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