Elasticity Theory of Structuring
Andrei N. Soklakov
Deutsche Bank AG (London)
July 30, 2015
Financial derivatives have often been compared to instruments of gambling. It turns out that many naive ways of making them do indeed lead to behavior which is mathematically equivalent to gambling. Fortunately, this inadvertent effect can be understood and prevented. We present a theory of product design which allows us to do that.
Number of Pages in PDF File: 15
Keywords: Optimal investments, structuring, financial derivatives, risk aversion
JEL Classification: C00, D83, G00
Date posted: May 10, 2013 ; Last revised: August 17, 2015
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