Decrement Indices: Purpose, Performance, Pricing, Hedging, Marketing

By Eric Barthe

Content of the book
This book proposes a full journey in the world of Decrement Indices: the reason for their creation in the mid 2010's and their generalised market adoption as the underlying for structured products and autocallables since the dividends rout of 2020, percentage decrements versus fixed points decrements, the expected performance of those indices compared to regular equity indices, how the implied volatility and forward of those indices compare to regular indices, and how those synthetic indices are hedged by traders. Finally the book addresses the marketing of those indices.

Audience
This book should be of interest to traders, structurers and salespeople at banks, but also to investors, advisors and wealth managers who are willing to understand in what product they invest

Author
Eric Barthe has traded, designed, analyzed, researched and taught structured products and exotic derivatives for the last 20 years
He was an equity exotics trader at Goldman Sachs in London for 8 years, trading Index exotics, single stock exotics and dispersion. He was managing director at Leonteq Securities as global head of financial engineering. He taught finance at HEC Paris business schoold and EDHEC Business School.

• Format: Paperback
• Language: English
• ISBN: B0CN5WP83K
• ISBN13: 9798867286866
• Release Date: November 2023
• Publisher: Independently Published
• Length: 64 Pages
• Weight: 0.22 lbs.
• Dimensions: 0.1" x 6.0" x 9.0"