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

 Download

kev sib tw: 
Nqi Amazon nqe: $125.00 $76.00 You save: $49.00 (39%) (as of July 11, 2018 10:56 pm – Lus Meej). Cov nqi khoom thiab muaj nyob rau ntawm hnub tim/sij hawm qhia thiab yuav muaj kev hloov. Tej nqe thiab muaj xov xwm hais txog cov Amazon site thaum lub sij hawm ntawm muas khoom yuav thov cov khoom no.

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 tau

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

1000pip Climber System Download

Qhov no nkag tau muab lo rau hauv Trading EA Forex, eBooks, Yeeb yaj duab, Phau ntawv ntxhov siab , , , , , , , , , . Phau Ntawv khaub ncaws.

Sau ntawv cia

Koj qhov chaw nyob yuav tsis raug luam tawm. Required fields are marked *

*

Yog dabtsi 7 + 3 ?
Thov cia cov teb ob nrab:
Tseem ceeb! ua tau, koj yuav tsum tau daws cov lej yooj yim nram qab no (Kom peb paub tias koj yog ib tug tib neeg) :-)