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Deriving Derivatives

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

Andrei N. Soklakov

Deutsche Bank AG (London)

Date Written: July 1, 2016

Abstract

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: https://ssrn.com/abstract=2262941 or http://dx.doi.org/10.2139/ssrn.2262941

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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