Foreign Exchange Option Pricing: A Practitioners Guide (The Wiley Finance Series)

 Download

Rating: 
Amazon Price: $125.00 $76.00 You save: $49.00 (39%) (as of July 11, 2018 10:56 pm – Details). Product prices and availability are accurate as of the date/time indicated and are subject to change. Any price and availability information displayed on the Amazon site at the time of purchase will apply to the purchase of this product.

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration.

1000pip Builder Download

With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features:

Correct market conventions for FX volatility surface constructionAdjustment for settlement and delayed delivery of optionsPricing of vanillas and barrier options under the volatility smileBarrier bending for limiting barrier discontinuity risk near expiryIndustry strength partial differential equations in one and several spatial variables using finite differences on nonuniform gridsFourier transform methods for pricing European options using characteristic functionsStochastic and local volatility models, and a mixed stochastic/local volatility modelThree-factor long-dated FX modelNumerical calibration techniques for all the models in this workThe augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation

Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.

Table of Contents

Mathematical Preliminaries
Deltas and Market Conventions

Volatility Surface Construction

Local Volatility and Implied Volatility

Stochastic Volatility

Numerical Methods for Pricing and Calibration

First Generation Exotics – Binary and Barrier Options

Second Generation Exotics

Multicurrency Options

Long-dated FX Options

Product Details

  • Item Weight:1.68 pounds
  • Hardcover:298 pages
  • ISBN-10:0470683686
  • ISBN-13:978-0470683682
  • Product Dimensions:6.9 x 0.9 x 9.9 inches
  • Publisher:Wiley; 1st Edition (January 18, 2011)
  • Language::English

Forex Duality Download

This entry was posted in Forex Trading EA, eBooks, Videos, Books and tagged , , , , , , , , , . Bookmark the permalink.

Leave a Reply

Your email address will not be published.

*

What is 6 + 7 ?
Please leave these two fields as-is:
IMPORTANT! To be able to proceed, you need to solve the following simple math (so we know that you are a human) :-)