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よく一緒に購入されている商品
商品の説明
内容説明
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 exchangenot 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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8 人中、8人の方が、｢このレビューが参考になった｣と投票しています。
A real practioner's book
2011/4/13
形式:ハードカバー|Amazonが確認した購入
I traded BRLUSD options for 5 years, and Iain's book is the only book that covers all the different aspects of trading and modelling FX options:
Different delta conventions
Market strangles, and how to fit your interpolating function to the traded strikes
Realistic interpolations for volatility surface construction
Local volatility in FX
Local Stochastic Volatility Models
Longdated FX Options
Also covered are the different issues and approaches of implementing the models, like Monte Carlo and PDEs; and a good discussion of barrier bending and exotics.
The focus is on presenting the methods and formulas, not proving theorems; even so, traders should not treat it as only a formula depository, there's real depth behind it.
Highly recommended for anyone trading or modelling FX options.
Different delta conventions
Market strangles, and how to fit your interpolating function to the traded strikes
Realistic interpolations for volatility surface construction
Local volatility in FX
Local Stochastic Volatility Models
Longdated FX Options
Also covered are the different issues and approaches of implementing the models, like Monte Carlo and PDEs; and a good discussion of barrier bending and exotics.
The focus is on presenting the methods and formulas, not proving theorems; even so, traders should not treat it as only a formula depository, there's real depth behind it.
Highly recommended for anyone trading or modelling FX options.
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