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I've been looking for good books on structuring equity derivatives (Principal Protected Notes, Autocalls, Lookbacks, Reverse Convertibles etc). I only found ones that discuss mainly the theoretical aspect (stochastic calculus, arbitrage pricing theory etc) but would like something that talks mainly about the practical aspects of pricing these derivatives and how to actually structure them. For example: the actual Monte Carlo methods applied, the different algos used in production, the various models and so on.

Thanks.

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4 Answers 4

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"Applied Quantitative Finance for Equity Derivatives" by Jherek Healy might be of interest to you though it's not focused specifically on exotics.

The sellside (especially French banks) should have primers on exotics though given they're effectively sales pitches, they might not have the detail you're looking for.

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    $\begingroup$ This sounds like an excellent new book on pricing! I'll probably get it. Regarding sell-side primers, I really liked the 1998 Salomon Smith Barney Exotic Equity Derivatives Manual (product description only, no pricing) $\endgroup$
    – Dimitri Vulis
    Commented Sep 25, 2020 at 20:24
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Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading, Wiley, 2010. https://www.amazon.co.uk/dp/B003F8S7B8/ref=dp-kindle-redirect?_encoding=UTF8&btkr=1 was quite interesting, and I think you can probably find it on the web somewhere.

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  • $\begingroup$ Yes, that one is quite good for practical purposes. $\endgroup$
    – Daneel Olivaw
    Commented Sep 25, 2020 at 15:48
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Satyajit Das Structured Products Volume 1: Exotic Options; Interest Rates and Currency (The Das Swaps and Financial Derivatives Library)

to volume 3

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  • $\begingroup$ OP specified equity derivatives. $\endgroup$
    – user42108
    Commented Sep 25, 2020 at 16:57
  • $\begingroup$ Volume 2 wiley.com/en-us/… has equities, but is not very deep. I don't think there was vol 3 $\endgroup$
    – Dimitri Vulis
    Commented Sep 25, 2020 at 19:58
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Since other answers already mentioned Das vol 1 and vol 2 ; and Bouzoubaa and Osseiran, I would like to add the good old:

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