Elasticity Theory of Structuring
Andrei N. Soklakov
Deutsche Bank AG (London)
October 31, 2013
We present a theory of product design covering a large class of investors. Bayesian laws of information processing provide the logical foundation and lead to a simple structuring tool -- the payoff elasticity equation. Structuring of investment derivatives is summarized as a manufacturing process.
Number of Pages in PDF File: 15
Keywords: Optimal investments, structuring, financial derivatives, risk aversion
JEL Classification: C00, D83, G00working papers series
Date posted: May 10, 2013 ; Last revised: December 2, 2013
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo1 in 0.453 seconds