Deriving Derivatives

13 Pages Posted: 10 May 2013 Last revised: 22 Dec 2016

Date Written: July 1, 2016


Quantitative structuring is a rigorous framework for the design of financial products. We show how it incorporates traditional investment ideas while supporting a more accurate expression of clients' views. We touch upon adjacent topics regarding the safety of financial derivatives and the role of pricing models in product design.

Keywords: Optimal investments, Derivatives, Structuring, Model Risk

JEL Classification: C00, D83, G00

Suggested Citation

Soklakov, Andrei N., Deriving Derivatives (July 1, 2016). Available at SSRN: or

Andrei N. Soklakov (Contact Author)

Citigroup, Inc. ( email )

399 Park Avenue
6th Floor
New York, NY 10043
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics