Foreign Exchange Option Pricing: A Practitioner's Guide

Valutazione media 3
( su 1 valutazioni fornite da Goodreads )
 
9780470683682: Foreign Exchange Option Pricing: A Practitioner's Guide

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

About the Author:

Dr Iain J. Clark, (London, UK), is Head of Foreign Exchange Quantitative Analysis at Dresdner Kleinwort in London, where he set up and runs the team responsible for developing pricing libraries for the front office. Previously, he was Director of the Quantitative Research Group in Lehman Brothers, Fixed Income Quantitative Analyst at BNP Paribas and has also worked in FX Commodities Derivatives research at JP Morgan. He holds an MSc in Mathematics from the University of Edinburgh, and a PhD in Applied Mathematics from the University of Queensland, Australia. Dr Clark is a regular speaker at key finance events, and has presented at London Imperial College, The Bachelier Society Annual Conference, London Imperial College, world business Strategies annual Conference, Risk events, Marcus Evans events and many more.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

I migliori risultati di ricerca su AbeBooks

1.

Iain J. Clark
Editore: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Rilegato Prima edizione Quantità: 10
Da
The Book Depository
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condizione libro: New. 1. Auflage. 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. Codice libro della libreria AAH9780470683682

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 67,07
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 0,57
Da: Regno Unito a: Italia
Destinazione, tempi e costi

2.

Iain J. Clark
Editore: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Rilegato Prima edizione Quantità: 10
Da
The Book Depository US
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condizione libro: New. 1. Auflage. 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. Codice libro della libreria AAH9780470683682

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 67,94
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 0,57
Da: Regno Unito a: Italia
Destinazione, tempi e costi

3.

Iain J. Clark
Editore: Wiley 2010-11-26, Chichester (2010)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Rilegato Quantità: 10
Da
Blackwell's
(Oxford, OX, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Wiley 2010-11-26, Chichester, 2010. hardback. Condizione libro: New. Codice libro della libreria 9780470683682

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 65,15
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 4,55
Da: Regno Unito a: Italia
Destinazione, tempi e costi

4.

Iain Clark
Editore: John Wiley & Sons 2010-11-26 (2010)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Quantità: 5
Da
Chiron Media
(Wallingford, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley & Sons 2010-11-26, 2010. Condizione libro: 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. Codice libro della libreria NU-GRD-04666956

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 68,40
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 3,40
Da: Regno Unito a: Italia
Destinazione, tempi e costi

5.

Clark, Iain J.
Editore: John Wiley & Sons, Limited
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Quantità: 3
Da
Textbooksrus UK
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley & Sons, Limited. Condizione libro: Brand New. Codice libro della libreria 43680083

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 57,01
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 17,05
Da: Regno Unito a: Italia
Destinazione, tempi e costi

6.

Iain J. Clark
Editore: John Wiley & Sons
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Rilegato Quantità: > 20
Da
THE SAINT BOOKSTORE
(Southport, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley & Sons. Hardcover. Condizione libro: New. New copy - Usually dispatched within 2 working days. Codice libro della libreria B9780470683682

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 68,31
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 6,76
Da: Regno Unito a: Italia
Destinazione, tempi e costi

7.

Clark, Iain J.
Editore: John Wiley and#38; Sons (2010)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Quantità: 14
Da
Books2Anywhere
(Fairford, GLOS, Regno Unito)
Valutazione libreria
[?]

Descrizione libro John Wiley and#38; Sons, 2010. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470683682

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 65,43
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 11,37
Da: Regno Unito a: Italia
Destinazione, tempi e costi

8.

Iain Clark
Editore: Wiley (2011)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Rilegato Quantità: 1
Da
Ergodebooks
(RICHMOND, TX, U.S.A.)
Valutazione libreria
[?]

Descrizione libro Wiley, 2011. Hardcover. Condizione libro: New. 1. Codice libro della libreria DADAX0470683686

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 64,70
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 13,39
Da: U.S.A. a: Italia
Destinazione, tempi e costi

9.

Iain J. Clark
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Quantità: 5
Da
Speedy Hen
(London, Regno Unito)
Valutazione libreria
[?]

Descrizione libro Condizione libro: New. Bookseller Inventory # ST0470683686. Codice libro della libreria ST0470683686

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 61,39
Convertire valuta

Aggiungere al carrello

Spese di spedizione: EUR 17,05
Da: Regno Unito a: Italia
Destinazione, tempi e costi

10.

Clark, Iain
Editore: John Wiley and Sons Ltd (2011)
ISBN 10: 0470683686 ISBN 13: 9780470683682
Nuovi Rilegato Prima edizione Quantità: 5
Valutazione libreria
[?]

Descrizione libro John Wiley and Sons Ltd, 2011. Condizione libro: New. * This book covers foreign exchange options from the point of view of the finance practitioner. Series: Wiley Finance Series. Num Pages: 304 pages, Illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 253 x 176 x 23. Weight in Grams: 680. . 2011. 1st Edition. Hardcover. . . . . . Codice libro della libreria V9780470683682

Maggiori informazioni su questa libreria | Fare una domanda alla libreria

Compra nuovo
EUR 80,22
Convertire valuta

Aggiungere al carrello

Spese di spedizione: GRATIS
Da: Irlanda a: Italia
Destinazione, tempi e costi

Vedi altre copie di questo libro

Vedi tutti i risultati per questo libro