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, G00

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Date posted: May 10, 2013 ; Last revised: December 2, 2013

Suggested Citation

Soklakov, Andrei N., Elasticity Theory of Structuring (October 31, 2013). 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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