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Lowest price: 59.05 €, highest price: 79.09 €, average price: 64.35 €
Foreign Exchange Option Pricing : A Practitioners Guide - Aletta Bonn
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Aletta Bonn:
Foreign Exchange Option Pricing : A Practitioners Guide - new book

ISBN: 9781119978602

ID: 9781119978602

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 constructionAdjustment for settlement and delayed delivery of optionsPricing of vanillas and barrier options under the volatility smileBarrier bending for limiting barrier discontinuity risk near expiryIndustry strength partial differential equations in one and several spatial variables using finite differences on nonuniform gridsFourier transform methods for pricing European options using characteristic functionsStochastic and local volatility models, and a mixed stochastic/local volatility modelThree-factor long-dated FX modelNumerical calibration techniques for all the models in this workThe augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulationConnecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.Table of ContentsMathematical Preliminaries Deltas and Market ConventionsVolatility Surface ConstructionLocal Volatility and Implied VolatilityStochastic VolatilityNumerical Methods for Pricing and CalibrationFirst Generation Exotics Binary and Barrier OptionsSecond Generation ExoticsMulticurrency OptionsLong-dated FX Options; PDF \ Aletta Bonn; Business,Finance and Law > Finance & accounting > Finance > Investment & securities, Taylor and Francis

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Foreign Exchange Option Pricing - Iain Clark
book is out-of-stock
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Iain Clark:
Foreign Exchange Option Pricing - new book

2011, ISBN: 9781119978602

ID: 734758600

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. A Practitioner´s Guide eBooks > Fremdsprachige eBooks > Englische eBooks > Sach- & Fachthemen > Technik ePUB 20.10.2011 eBook, John Wiley & Sons Inc, .201

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Foreign Exchange Option Pricing - Iain Clark
book is out-of-stock
(*)
Iain Clark:
Foreign Exchange Option Pricing - new book

2011, ISBN: 9781119978602

ID: 849957981

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 simulationConnecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace. A Practitioner´s Guide eBook ePUB 20.10.2011 eBooks>Fremdsprachige eBooks>Englische eBooks>Sach- & Fachthemen>Technik, John Wiley & Sons, .201

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Foreign Exchange Option Pricing als eBook Download von Iain Clark - Iain Clark
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Iain Clark:
Foreign Exchange Option Pricing als eBook Download von Iain Clark - new book

ISBN: 9781119978602

ID: 135158295

Lieferung innerhalb 1-4 Werktagen. Versandkostenfrei, wenn Buch oder Hörbuch enthalten ist, sonst 2,95 EUR. Ab 19,90 EUR versandkostenfrei. (Deutschland) eBooks > Belletristik > Erzählungen, John Wiley & Sons

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Foreign Exchange Option Pricing - Iain Clark
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Iain Clark:
Foreign Exchange Option Pricing - First edition

2011, ISBN: 9781119978602

ID: 24998098

A Practitioner's Guide, [ED: 1], 1. Auflage, eBook Download (EPUB), eBooks, [PU: John Wiley & Sons]

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