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.
- Investment & securities
- Publication Date:
- John Wiley and Sons Ltd
- Country of origin:
- United Kingdom
- Dimensions (mm):
On order from our local supplier to our Sydney distribution centre.
Once received we make sure it is in perfect condition and then send it to you via the Australia Post eParcel service, which includes online tracking.
You can expect to receive your order in 7 to 10 working days for most Australian capitals, however, please check below to see indicative delivery timeframes for your area. Please allow extra time during peak holiday periods.
NSW Metro: 9- 12 working days.
NSW Regional: 10 - 15 working days.
VIC & SA Metro: 10 - 13 working days.
VIC & SA Regional: 10 - 15 working days.
QLD Metro: 10 - 15 working days.
QLD Regional: 14 - 22 working days.
TAS: 10 - 15 working days.
WA Metro: 10 - 15 working days.
WA Regional: 13 -16 working days.
NT Metro: 13 - 16 working days.
NT Regional: 14 - 22 working days.