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Harry Kat's book on " Structured Equity Derivatives " (2001, John Wiley, ISBN:0 471 48652 3) provide information on a range of products, i.e., from the simple bull note to a complicated payoff structure of the 'bivariate digital protected cliquet bull note" (Harry was the Head of equity derivatives at Bank of America). The book obtained good reviews from Peter Carr, Mark Rubinstein, Don Chance and Antony F. Herbst. The book does not cover the marketing, trading or the documentation of these products, although it provides insights on potential markets for these products.

Kind regards

Michalis Ioannides

  Jean-Claude RAZAFINDRAKOTO <[log in to unmask]> wrote:

Hi everybody,

Has anyone a good book on structured derivatives (equity-linked, structured
swaps ...) to recommend me ? I am working as financial engineer on structured
fixed income/IR derivatives products and I am interested in a reference which
combine pricing/ quant aspects and other practical aspects like documentation,
marketing/trading of such products.
It will be a good help if you can tell me if you use this book, in supplement
with a critical review.

Thanks in advance,

Jean-Claude


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