Foreign Exchange Option Pricing: A Practitioner's Guide (Wiley Finance Series)

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9780470683682: Foreign Exchange Option Pricing: A Practitioner's Guide (Wiley Finance Series)
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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. 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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1.

Iain J. Clark
Editorial: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470683686 ISBN 13: 9780470683682
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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. 244 x 165 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAH9780470683682

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Descripción John Wiley and#38; Sons, 2010. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería FW-9780470683682

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Iain J. Clark
Editorial: John Wiley and Sons Ltd, United Kingdom (2011)
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Descripción John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Estado de conservación: New. 1. Auflage. 244 x 165 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAH9780470683682

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Descripción John Wiley and#38; Sons, 2010. HRD. Estado de conservación: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería IP-9780470683682

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Descripción 2010. Hardcover. Estado de conservación: New. 1st. 176mm x 251mm x 24mm. Hardcover. 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 ab.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 304 pages. 0.694. Nº de ref. de la librería 9780470683682

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Descripción John Wiley and#38; Sons, 2010. HRD. Estado de conservación: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Nº de ref. de la librería IP-9780470683682

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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. 1. Nº de ref. de la librería DADAX0470683686

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Descripción John Wiley & Sons 2010-11-26, 2010. Estado de conservación: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Nº de ref. de la librería NU-ING-00669484

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Descripción 2010. Hardback. Estado de conservación: NEW. 9780470683682 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0777384

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Descripción Wiley, 2011. Hardcover. Estado de conservación: New. book. Nº de ref. de la librería 0470683686

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