The Wiley Finance Series - 624
Wiley, October 2011
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:
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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