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Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes by Harry M. Kat (Hardcover, 2001)

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"It has been said that in theory, theory translates into practice, but in practice it never does. This breakthrough book defies this conventional wisdom in a unique way. Dr Kat conveys the essence of these products from the perspective of a very experienced financial engineer but in a fashion that the less experienced reader can easily follow and understand.