Options on Foreign Exchange

Finally , Garman and Kohlhagen ( 1983 ) adapted the model to work for European options on foreign currencies . We will refer to this as the Black - Scholes - Merton or BSM model.1 Three Assumptions Like all theoretical models ...

Options on Foreign Exchange

Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC

More Books:

Foreign Exchange Option Pricing
Language: en
Pages: 280
Authors: Iain J. Clark
Categories: Business & Economics
Type: BOOK - Published: 2011-01-18 - Publisher: John Wiley & Sons

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
Options on Foreign Exchange
Language: en
Pages: 222
Authors: David F. DeRosa
Categories: Business & Economics
Type: BOOK - Published: 2000 - Publisher: John Wiley & Sons

Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam
FX Options and Structured Products
Language: en
Pages: 472
Authors: Uwe Wystup
Categories: Business & Economics
Type: BOOK - Published: 2017-06-30 - Publisher: John Wiley & Sons

Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and
Modeling Volatility in Foreign Currency Option Pricing
Language: en
Pages: 20
Authors: Ariful Hoque
Categories: Business & Economics
Type: BOOK - Published: 2016 - Publisher:

This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed framework. The framework is implemented empirically
Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options
Language: en
Pages: 207
Authors: Christian Pierdzioch
Categories: Business & Economics
Type: BOOK - Published: 2001-12-06 - Publisher: Springer Science & Business Media

A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option