Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications

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9780471252672: Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications

A groundbreaking collection on currency derivatives, including pricing theory and hedging applications.

"David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders."-Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley.

"A comprehensive selection of the major references in currency option pricing."-Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options.

"A useful compilation of articles on currency derivatives, going from the essential to the esoteric."-Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk.

Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theory's greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world's currency markets have proven to be an almost ideal testing and development ground for new derivative instruments.

This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore.

The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options.

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

From the Publisher:

The foreign exchange market is the largest market in the world. It dwarfs the combined markets of the New York, London, Frankfurt, and Tokyo stock exchanges, as over a trillion dollars flows through the market every week. Currency Derivatives is a compendium of the 20 best articles on currency derivatives, pricing theory, and hedging applications, and is simply a must-read for anyone dealing in the foreign exchange marketplace. Edited by David DeRosa, a leading foreign exchange trader and analyst, the book includes the best research from the top minds in the business. These are, no doubt, the articles which will be referred to again and again by the derivatives experts, thus the essential resource for newcomers and experienced market participants alike.

From the Inside Flap:

Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed-income markets is common knowledge. Yet, comparatively few professionals are aware that the theory's greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world's currency markets have proven to be an almost ideal testing and development ground for new derivative instruments. This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore. The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options.

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

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Editor-David F. DeRosa
Editore: Wiley (1998)
ISBN 10: 0471252670 ISBN 13: 9780471252672
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Descrizione libro Wiley, 1998. Hardcover. Condizione libro: New. Codice libro della libreria SONG0471252670

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Descrizione libro Wiley. Hardcover. Condizione libro: New. 0471252670 Ships from Tennessee, usually the same or next day. Codice libro della libreria HCI9998SWGG091817H0080C

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Descrizione libro Wiley, 1998. Hardcover. Condizione libro: New. book. Codice libro della libreria M0471252670

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Descrizione libro John Wiley and#38; Sons, 1998. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780471252672

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Descrizione libro Wiley, 2017. Hardcover. Condizione libro: New. Never used! This item is printed on demand. Codice libro della libreria 0471252670

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Descrizione libro John Wiley and Sons Ltd, United States, 1998. Hardback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book ***** Print on Demand *****.A groundbreaking collection on currency derivatives, including pricing theory and hedging applications. David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders. -Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley. A comprehensive selection of the major references in currency option pricing. -Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options. A useful compilation of articles on currency derivatives, going from the essential to the esoteric. -Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk. Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theory s greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world s currency markets have proven to be an almost ideal testing and development ground for new derivative instruments. This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore. The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options. Codice libro della libreria APC9780471252672

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Editore: John Wiley and Sons Ltd, United States (1998)
ISBN 10: 0471252670 ISBN 13: 9780471252672
Nuovi Rilegato Prima edizione Quantità: 10
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Descrizione libro John Wiley and Sons Ltd, United States, 1998. Hardback. Condizione libro: New. 1. Auflage. Language: English . Brand New Book ***** Print on Demand *****. A groundbreaking collection on currency derivatives, including pricing theory and hedging applications. David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders. -Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley. A comprehensive selection of the major references in currency option pricing. -Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options. A useful compilation of articles on currency derivatives, going from the essential to the esoteric. -Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk. Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theory s greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world s currency markets have proven to be an almost ideal testing and development ground for new derivative instruments. This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore. The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options. Codice libro della libreria APC9780471252672

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Descrizione libro Wiley. Hardcover. Condizione libro: New. Hardcover. 387 pages. Dimensions: 9.1in. x 6.1in. x 1.3in.A groundbreaking collection on currency derivatives, including pricing theory and hedging applications. David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders. -Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley. A comprehensive selection of the major references in currency option pricing. -Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options. A useful compilation of articles on currency derivatives, going from the essential to the esoteric. -Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk. Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theorys greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the worlds currency markets have proven to be an almost ideal testing and development ground for new derivative instruments. This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore. The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Hardcover. Codice libro della libreria 9780471252672

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David F. DeRosa
Editore: John Wiley and Sons (1998)
ISBN 10: 0471252670 ISBN 13: 9780471252672
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Descrizione libro John Wiley and Sons, 1998. HRD. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780471252672

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David F. DeRosa
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Descrizione libro John Wiley and#38; Sons, 1998. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780471252672

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