Options On Foreign Exchange

Author : Iain J. Clark
Publisher : John Wiley & Sons
Page : 308 pages
File Size : 49,6 Mb
Release : 2011-01-18
Category : Business & Economics
ISBN : 9780470683682

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Foreign Exchange Option Pricing by Iain J. Clark Pdf

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 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 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.

Author : David F. DeRosa
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 40,7 Mb
Release : 2000-01-18
Category : Business & Economics
ISBN : 0471316415

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Options on Foreign Exchange by David F. DeRosa Pdf

Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC

Author : David F. DeRosa
Publisher : John Wiley & Sons
Page : 290 pages
File Size : 46,7 Mb
Release : 2011-07-05
Category : Business & Economics
ISBN : 9781118097564

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Options on Foreign Exchange by David F. DeRosa Pdf

A 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 fluctuate there is hardly a corporate entity that doesn't need to use options on foreign exchange to hedge risk or increase returns. Moreover, currency options, both vanilla and exotic, are part of standard toolkit of professional portfolio managers and hedge funds. Written by a practitioner with real-world experience in this field, the Third Edition of Options on Foreign Exchange opens with a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. The Black-Scholes-Merton option-pricing model as applied to currency options is also covered, along with an examination of currency futures options. Throughout the book, author David DeRosa addresses the essential elements of this discipline and prepares you for the various challenges you could face. Updates new developments in the foreign exchange markets, particularly regarding the volatility surface Includes expanded coverage of the currency crises and capital controls, electronic trading, forward contracts, exotic options, and more Employs real-world terminology so you can a firm understanding of this dynamic marketplace The only way to truly succeed in today's foreign exchange market is by becoming more familiar with currency options. The Third Edition of Options on Foreign Exchange will help you achieve this goal and put you in better position to make more profitable decisions in this arena.

Author : W. H. Sutton,William Sutton
Publisher : Prentice Hall
Page : 224 pages
File Size : 43,5 Mb
Release : 1988
Category : Financial futures
ISBN : UCSC:32106008124809

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Trading in Currency Options by W. H. Sutton,William Sutton Pdf

Author : Alan Hicks
Publisher : Woodhead Publishing
Page : 566 pages
File Size : 48,9 Mb
Release : 1998-05-29
Category : Business & Economics
ISBN : NYPL:33433062693621

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Foreign Exchange Options by Alan Hicks Pdf

Since the first edition of Foreign Exchange Options in 1993, trading in foreign exchange options has undergone rapid expansion and now accounts for a daily turnover of some $100 billion world-wide. This revised and expanded second edition takes into account recent changes in both market practice and regulatory requirements and contains many new explanatory diagrams and practical examples. As with the first edition, the emphasis is on practicality, taking the reader through the basics, clarifying jargon when and where appropriate. This book will be invaluable for accountants, auditors, experienced practitioners and those entering the world of currency options for the first time. The benefits of using options to hedge foreign exchange risk Detailed examination of both the OTC market and the main exchange listing Specific coverage of pricing, trading risk and market practice

Author : Francesca Taylor
Publisher : Financial Times/Prentice Hall
Page : 436 pages
File Size : 48,5 Mb
Release : 2003
Category : Currency convertibility
ISBN : UCSD:31822033174608

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Mastering Foreign Exchange & Currency Options by Francesca Taylor Pdf

mastering foreign exchange & currency options a practical guide to the new marketplace The last ten years have seen a revolution inthe global foreign exchange markets. It is no longer enough for banks and their corporate customers to arrange their currency hedging and trading on an active and commercial basis. It is now vital to understand how new technology has impacted the market. The author fully examines key initiatives such as e-forex, TWIST and CLS and the new option to trade FX outside the banking markets, making this book an essentiual tool for all who need to keep up with this fast changing market. Eleven of the twenty-one chapters are written by guest practitioners who provide a unique insight into the forex market. This important new edition of Mastering Foreign Exchange & Currency Options will enable you to get your currency dealing right. It is the essential handbook for any player in the forex market. It is written for new entrants seeking to master the fast developing world of forex trading and seasoned professionals needing to keep informed of the latest developments in this sector. With the introduction of new technology this is often seen as a daunting topic to get to grips with. Both hedgers seeking to remoce or manage their currency risk and speculators seeking to take currency risk in the hope of making profit will benefit from this book. The advent of more sophisticated currency derivatives has also raised the stakes. This book contains practical guidance on: Currency Classifications History and economics of forex Technology and the markets Mechanics of spot forex and forward forex Emerging market foreign exchange Forex trading for the individual investor Currency risk management Background, development and mechanics of currency options Exotic options and transparency Innovations in e-foreign exchange Multi-bank electronic trading Electronic procurement of fx: the corporate perspectives TWIST Technical Analysis Continuous linked settlement (CLS) Visit our website at www.financialminds.com

Author : Shani Shamah
Publisher : John Wiley & Sons
Page : 210 pages
File Size : 47,6 Mb
Release : 2004-04-21
Category : Business & Economics
ISBN : 9780470870372

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A Currency Options Primer by Shani Shamah Pdf

A quick and concise guide to currency options An understanding of currency options is essential for those working in investment and foreign exchange. A Currency Options Primer sets out to give readers a clear guide to how the currency option market functions, offering practical advice on mastering the necessary components and concepts for fully understanding the workings of this market.

Author : Pearson Education, Limited
Publisher : Financial Times/Prentice Hall
Page : 128 pages
File Size : 55,8 Mb
Release : 1999-11-01
Category : Electronic
ISBN : 0273649469

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Financial Minds Pack Code Fm193 by Pearson Education, Limited Pdf

Author : Iain J. Clark
Publisher : John Wiley & Sons
Page : 308 pages
File Size : 50,9 Mb
Release : 2011-10-20
Category : Business & Economics
ISBN : 9781119978602

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Foreign Exchange Option Pricing by Iain J. Clark Pdf

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 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 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.

Author : Jessica James,Jonathan Fullwood,Peter Billington
Publisher : John Wiley & Sons
Page : 264 pages
File Size : 43,8 Mb
Release : 2015-04-23
Category : Business & Economics
ISBN : 9781118793275

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FX Option Performance by Jessica James,Jonathan Fullwood,Peter Billington Pdf

Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?

Author : Uwe Wystup
Publisher : John Wiley & Sons
Page : 768 pages
File Size : 43,8 Mb
Release : 2017-06-30
Category : Business & Economics
ISBN : 9781118471135

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FX Options and Structured Products by Uwe Wystup Pdf

Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.

Author : Derosa
Publisher : Irwin Professional Publishing
Page : 296 pages
File Size : 55,7 Mb
Release : 1992-03-22
Category : Business & Economics
ISBN : STANFORD:36105060050528

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Opt Foreign Exc by Derosa Pdf

It is well known that foreign exchange is the world's largest financial market. What is less well known is that the market for currency options and other derivatives on foreign exchange is also massive and still growing. This book has been written for end users of currency options and newcomers to the field of foreign exchange. It employs the real-world terminology of the foreign exchange market whenever possible so that readers can make a smooth transition from the text to actual market practice. The opening chapters present a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. Next, attention turns to the pervasive Black-Scholes-Merton option pricing model as applied to currency options. An examination of currency futures options follows. The final chapters are devoted to exotic currency options, with special attention given to a variety of barrier currency options. Average rate, compound, basket, and quantos currency options are also covered. Options on Foreign Exchange, Second Edition is written for traders, corporate treasurers, risk managers, and students of financial markets.

Author : William Sutton
Publisher : Unknown
Page : 220 pages
File Size : 45,6 Mb
Release : 1988
Category : Business & Economics
ISBN : 0859413233

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The Currency Options Handbook by William Sutton Pdf

Author : Tim Weithers
Publisher : John Wiley & Sons
Page : 290 pages
File Size : 46,8 Mb
Release : 2011-03-10
Category : Business & Economics
ISBN : 9781118046210

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Foreign Exchange by Tim Weithers Pdf

Praise for Foreign Exchange "Tim Weithers starts by telling the reader that foreign exchange is not difficult, just confusing, but Foreign Exchange: A Practical Guide to the FX Markets proves that money is much more exciting than anything it buys. This useful book is a whirlwind tour of the world's largest market, and the tour guide is an expert storyteller, inserting numerous fascinating insights and quirky facts throughout the book." -John R. Taylor, Chairman, CEO and CIO, FX Concepts "The book reflects the author's doctorate from the University of Chicago, several years' experience as an economics professor, and, most recently, a very successful decade as an executive at a huge international bank. These fundamental ingredients are seasoned with bits of wisdom and experience. What results is a very tasty intellectual stew." -Professor Jack Clark Francis, PhD, Professor of Economics and Finance, Bernard Baruch College "In this book, Tim Weithers clearly explains a very complicated subject. Foreign Exchange is full of jargon and conventions that make it very hard for non-professionals to gain a good understanding. Weither's book is a must for any student or professional who wants to learn the secrets of FX." -Niels O. Nygaard, Director of Financial Mathematics, The University of Chicago "An excellent text for students and practitioners who want to become acquainted with the arcane world of the foreign exchange market." -David DeRosa, PhD, founder, DeRosa Research and Trading, Inc., and Adjunct Professor of Finance, Yale School of Management "Tim Weithers provides a superb introduction to the arcana of foreign exchange markets. While primarily intended for practitioners, the book would be a valuable introduction for students with some knowledge of economics. The text is exceptionally clear with numeric examples and exercises that reinforce concepts. Frequent references are made to the economic theory behind the trading practices." -John F. O'Connell, Professor of Economics, College of the Holy Cross

Author : Kathy Lien
Publisher : John Wiley & Sons
Page : 229 pages
File Size : 43,8 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9781118018415

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The Little Book of Currency Trading by Kathy Lien Pdf

An accessible guide to trading the fast-moving foreign exchange market The foreign exchange market, or forex, was once dominated by global banks, hedge funds, and multinational corporations, but that has all changed with Internet technology and the advent of online forex brokers. Now, hundreds of thousands of traders and investors around the world can participate in this profitable field. Written by forex expert Kathy Lien, The Little Book of Currency Trading will show you how to effectively invest and trade in today's biggest market. Page by page, she describes the multitude of opportunities possible in the forex market, from short-term price swings to long-term trends, and details practical products that can help you achieve success, such as currency-based ETFs. Explains the forces that drive currencies and provides strategies to profit from them Reveals how you can use various currencies to reduce risk and take advantage of global trends Examines financial vehicles that can help you make money without having to monitor the market every day The Little Book of Currency Trading opens the world of currency trading and investing to anyone interested in entering this dynamic arena.