Foreign Exchange Option Pricing

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  • Publisher : John Wiley & Sons
  • Release : 18 January 2011
  • ISBN : 9780470683682
  • Page : 280 pages
  • Rating : 4.5/5 from 103 voters

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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. 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

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Foreign Exchange Option Pricing

Foreign Exchange Option Pricing
  • Author : Iain J. Clark
  • Publisher : John Wiley & Sons
  • Release Date : 2011-01-18
  • ISBN : 9780470683682
GET THIS BOOKForeign Exchange Option Pricing

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

Modern Foreign Exchange

Modern Foreign Exchange
  • Author : Hubert C. Walter
  • Publisher : Routledge
  • Release Date : 2017-04-21
  • ISBN : 9781351811439
GET THIS BOOKModern Foreign Exchange

Originally published in 1923. This book describes the working of the exchanges, and explains post-war fluctuations. It describes bills, documentary and blank credits, the mechanism of exchange trading and money market; and explains inflation, floating debts, purchasing power parity, international indebtedness and stabilisation.

Options on Foreign Exchange

Options on Foreign Exchange
  • Author : David F. DeRosa
  • Publisher : John Wiley & Sons
  • Release Date : 2011-07-05
  • ISBN : 1118097564
GET THIS BOOKOptions on Foreign Exchange

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

How to Make a Living Trading Foreign Exchange

How to Make a Living Trading Foreign Exchange
  • Author : Courtney Smith
  • Publisher : John Wiley & Sons
  • Release Date : 2010-02-02
  • ISBN : 9780470442296
GET THIS BOOKHow to Make a Living Trading Foreign Exchange

Solid Forex strategies for capturing profits in today's volatilemarkets How to Make a Living Trading Foreign Exchange puts theworld of Forex at your fingertips. Author Courtney Smith beginswith an introduction to the Forex market-what it is and how itworks. He then delves into six moneymaking techniques for tradingForex, including his unique Rejection Rule that doubles the profitof basic channel breakout systems. In addition to two specificmethods for exiting positions at critical levels, Smith alsodiscusses powerful risk management techniques and successfultrading

Essentials of Foreign Exchange Trading

Essentials of Foreign Exchange Trading
  • Author : James Chen
  • Publisher : John Wiley & Sons
  • Release Date : 2009-03-11
  • ISBN : 0470464003
GET THIS BOOKEssentials of Foreign Exchange Trading

This currency trading book provides readers with real, practical information on how to trade the foreign exchange market effectively. It begins by covering introductory information on the forex market, including basic trading mechanics and the benefits of forex trading, and then goes on to describe specific currency trading methods and skills in step-by-step detail. This includes highly practical information on technical and fundamental analysis, risk and money management, and powerful forex trading strategies. These strategies have proven extremely effective in

Management of Foreign Exchange Risk

Management of Foreign Exchange Risk
  • Author : Y. C. Lum,Sardar M. N. Islam
  • Publisher : Routledge
  • Release Date : 2020-09-03
  • ISBN : 9781000172584
GET THIS BOOKManagement of Foreign Exchange Risk

This book provides a technical and specialised discussion of contemporary and emerging issues in foreign exchange and financial markets by addressing the issues of risk management and theory and hypothesis development, which have general implications for finance theory and foreign exchange market management. It offers an in-depth, comprehensive analysis of the issues concerning the volatility of exchange rates. The book has three main objectives. First, it applies the integrated study of exchange rate volatility in terms of depth and breadth.

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks
  • Author : Lean Yu,Shouyang Wang,Kin Keung Lai
  • Publisher : Springer Science & Business Media
  • Release Date : 2010-02-26
  • ISBN : 9780387717203
GET THIS BOOKForeign-Exchange-Rate Forecasting with Artificial Neural Networks

This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.

Foreign Exchange

Foreign Exchange
  • Author : Adam S. Iqbal
  • Publisher : Springer Nature
  • Release Date : 2022-04-01
  • ISBN : 9783030935559
GET THIS BOOKForeign Exchange

One of the great challenges that many participants in foreign exchange (FX) markets face is sifting through the often overwhelming amount of information that is available. Media outlets stream updates on international politics, economics, and other factors that move FX prices twenty-four hours a day. It is difficult to work out what is and what is not important. This book helps its reader overcome these challenges by combining the insights gained from a market practitioner who has traded FX at

A Foreign Exchange Primer

A Foreign Exchange Primer
  • Author : Shani Shamah
  • Publisher : John Wiley & Sons
  • Release Date : 2011-11-22
  • ISBN : 9781119994893
GET THIS BOOKA Foreign Exchange Primer

This book will provide a thorough introduction to the foreign exchange markets, looking at the main products through to the techniques used, coverage of the main participants, details of the various players, and an understanding of the jargon used in everyday dealings. Written in a concise and accessible manner, it will be an ideal introduction for anyone looking to become involved in the FX markets, from dealing rooms or sales perspectives, to novice investors. The new edition has been updated

The Japanese Foreign Exchange Market

The Japanese Foreign Exchange Market
  • Author : Beate Reszat
  • Publisher : Routledge
  • Release Date : 2002-04-12
  • ISBN : 9781134766192
GET THIS BOOKThe Japanese Foreign Exchange Market

In recent years, Japan's financial market has seen dramatic changes, in particular the explosive growth of currency trading and the increasing international role of the yen. This book gives a comprehensive overview of this activity. This work is the first non-Japanese language title to examine the prolific rise of Japan's foreign currency exchange market, its idiosyncracies, and its future role in the global economy. It is vital reading for economists and students of Japan-related subjects.

Foreign Exchange

Foreign Exchange
  • Author : Tim Weithers
  • Publisher : John Wiley & Sons
  • Release Date : 2011-03-10
  • ISBN : 9781118046210
GET THIS BOOKForeign Exchange

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

Foreign Exchange Exposure Management

Foreign Exchange Exposure Management
  • Author : Niso Abuaf,Stephan Wilhelm Maria Schoess
  • Publisher : Unknown
  • Release Date : 1988
  • ISBN : UCLA:L0051030872
GET THIS BOOKForeign Exchange Exposure Management

Combines the theoretical with the practical, taking an in-depth look at the many causes behind foreign-exchange volatility. Aimed at handling volatility with greater confidence, the book provides a clear understanding of all the concepts & instruments involved in foreign-exchange management. In short, this book offers the perspective & the tools needed to take decisive action in today's highly volatile foreign-exchange market.

Foreign Exchange Control

Foreign Exchange Control
  • Author : Charles Jacques Gersbach
  • Publisher : Unknown
  • Release Date : 1945
  • ISBN : UCAL:B2983321
GET THIS BOOKForeign Exchange Control

Foreign Exchange Rates

Foreign Exchange Rates
  • Author : Arif Orçun Söylemez
  • Publisher : Routledge
  • Release Date : 2021-02-07
  • ISBN : 9781000357318
GET THIS BOOKForeign Exchange Rates

Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of

Foreign Exchange

Foreign Exchange
  • Author : Clémentine Deliss,Yvette Mutumba,Weltkulturen Museum
  • Publisher : Unknown
  • Release Date : 2014-01-16
  • ISBN : 303734668X
GET THIS BOOKForeign Exchange

Founded in 1904, Frankfurt’s Weltkulturen Museum houses a remarkable collection of ethnographic artifacts from Asia, Africa, Oceania, and the Americas, with the aims of advancing public education and fostering innovative anthropological research across a wide variety of contemporary artistic practices. Developed through artistic research in the Weltkulturen Museum’s Weltkulturen Labor research lab, Foreign Exchange raises questions about the relationship between the museum’s educational and scientific aims and global trade. Together, essays by anthropologists, art historians, artists, and curators