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

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Date posted: May 10, 2013 ; Last revised: August 17, 2015

Suggested Citation

Soklakov, Andrei N., Elasticity Theory of Structuring (July 30, 2015). Available at SSRN: http://ssrn.com/abstract=2262963 or http://dx.doi.org/10.2139/ssrn.2262963

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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