Электронная книга: Iain Clark J. «Foreign Exchange Option Pricing. A Practitioner's Guide»

Foreign Exchange Option Pricing. A Practitioner's Guide

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. 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 FXoptions 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 construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The 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.

Издательство: "John Wiley&Sons Limited"

ISBN: 9780470977194

электронная книга

Купить за 9755.93 руб и скачать на Litres

Другие книги схожей тематики:

АвторКнигаОписаниеГодЦенаТип книги
David DeRosa F.Options on Foreign ExchangeA comprehensive guide to the world's largest financial market Foreign exchange is the world's largest financial market and continues to grow at a rapid pace. As economies intertwine and currencies… — @John Wiley&Sons Limited (USD), @ @ @ @ Подробнее...
6178.75электронная книга

Look at other dictionaries:

  • Option (finance) — Stock option redirects here. For the employee incentive, see Employee stock option. Financial markets Public market Exchange Securities Bond market Fixed income …   Wikipedia

  • Real options valuation — Real options valuation, also often termed Real options analysis,[1] (ROV or ROA) applies option valuation techniques to capital budgeting decisions.[2] A real option itself, is the right but not the obligation to undertake some business decision; …   Wikipedia

  • Neil Chriss — Neil A. Chriss is a mathematician, academic, hedge fund manager, philanthropist and a founding board member of the charity organization Math for America which seeks to improve math education in the United States. Contents 1 Early career 2… …   Wikipedia

  • performing arts — arts or skills that require public performance, as acting, singing, or dancing. [1945 50] * * * ▪ 2009 Introduction Music Classical.       The last vestiges of the Cold War seemed to thaw for a moment on Feb. 26, 2008, when the unfamiliar strains …   Universalium

  • Lawyer — Lawyers redirects here. For the television series, see The Lawyers. For other uses, see Lawyer (disambiguation). Lawyer 19th century painting of lawyers, by French artist Honoré Daumier Occupation Names …   Wikipedia


Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”

We are using cookies for the best presentation of our site. Continuing to use this site, you agree with this.