A book demystifying the decrement indices, just released

We are delighted to announce the release of the book on the decrement indices authored by EDHEC PhD candidate Eric Barthe, specialist in structured products and exotic derivatives. 

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.

Over the last 20 years, Eric has traded, designed, analyzed, researched and taught structured products and exotic derivatives.

Currently on a “sabbatical break” which he devotes to research in quantitative finance at PhD level, teaching and consulting on structured products, derivatives and exotic options.

Eric holds a Masters from LSE in Finance & Economics, from Ecole Centrale in Engineering and from HEC in Management, and he is at the final stage of his PhD dissertation at EDHEC Business School.

Decrement Indices: Purpose, Performance, Pricing, Hedging, Marketing by Eric Barthe. 

This book in available on Amazon