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Foreign Exchange Option Pricing

Foreign Exchange Option Pricing

A Practitioner's Guide

by Iain J. Clark

Hardback Publication Date: 26/11/2010

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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.
ISBN:
9780470683682
9780470683682
Category:
Investment & securities
Format:
Hardback
Publication Date:
26-11-2010
Language:
English
Publisher:
John Wiley & Sons Inc
Country of origin:
United States
Pages:
298
Dimensions (mm):
256x180x22mm
Weight:
0.76kg

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