A comprehensive guide to the world's largest financial market Foreign exchange is the world's largest financial market and continues to grow at a rapid pace. As economies intertwine and currencies fluctuate there is hardly a corporate entity that doesn't need to use options on foreign exchange to hedge risk orincrease returns. Moreover, currency options, both vanilla and exotic, are part of standard toolkit of professional portfolio managers and hedge funds. Written by a practitioner with real-world experience in this field, the Third Edition of Options on Foreign Exchange opens with a substantive discussion of thespot and forward foreign exchange market and the mechanics of trading currency options. The Black-Scholes-Merton option-pricing model as applied to currency options is also covered, along with an examination of currency futures options. Throughout the book, author David DeRosa addresses the essential elements of this discipline and prepares you for the various challenges you could face.Updates new developments in the foreign exchange markets, particularly regarding the volatility surface Includes expanded coverage of the currency crises and capital controls, electronic trading, forward contracts, exotic options, and more Employs real-world terminology so you can a firm understanding of this dynamic marketplace The only way to truly succeed in today's foreign exchange market is by becoming more familiar with currency options. The Third Edition of Options on Foreign Exchange will help you achieve this goal and put you in better position to make more profitable decisions in this arena. INDICE: Preface. What's New to This Edition. Before You Begin. Acknowledgements. Chapter 1 Foreign Exchange Basics. The Foreign Exchange Market. The International Monetary System. Spot Foreign Exchange and Market Conventions. Foreign Exchange Dealing. Interest Parity and Forward Foreign Exchange. Departuresfrom Covered Interest Parity In 2007-2008. Chapter 2 Trading Currency Options. The Interbank Currency Option Market. Option Basics. Listed Options on Actual Foreign Currency. Currency Futures Contracts. Listed Currency Future Options. Chapter 3 Valuation of European Currency Options. Arbitrage Theorems. Put-Call Parity for European Currency Options. The Black-Scholes-Merton Model. How Currency Options Trade in the Interbank Market. Reflections on the Contributionof Black, Scholes, and Merton. Chapter 4 European Currency Option Analytics. Base-Case Analysis. The Greeks. Special Properties of At-The-Money-Forward Options. Directional Trading with Currency Options. Hedging with Currency Options. Appendix 4.1 Derivation of the BSM Deltas. Chapter 5 Volatility. AlternativeMeanings of Volatility. Some Volatility History. Construction of the Volatility Surface. The Vanna Volga Method. Risk Neutral Densities. Dealing in Currency Options. Trading Volatility. Mixing Directional and Volatility Trading. Appendix 5.1 Vanna Volga Approximations. Chapter 6 American Currency Options. Arbitrage Conditions. Put-Call Parity for American Currency Options. General Theory of American Currency Option Pricing. The Economics of Early Exercise. The Binomial Model. The Binomial Model for European Currency Options. American Currency Options by Approximation. Finite Difference Methods. Chapter 7 Currency Futures Options. Currency Futures and Their Relationship to Spot and Forward Rates. Arbitrage and Parity Theorems for Currency Futures Options. Black's Model for European Currency Futures Options. The Valuation of American Currency Futures Options. The Quadratic Approximation Model for Future Options. Chapter 8 Barrier and Binary Currency Options. Single Barrier Currency Options. Double Barrier Knock-Out Currency Options. Binary Currency Options. Contingent Premium Currency Options. Applying Vanna-Volga to Barrier Options. What the Formulas Don't Reveal. Chapter 9 Advance Option Models. Stochastic Volatility Models. The Mixed Jump-Diffusion Process Model. Local Volatility Models. Stochastic Local Volatility. Static Replication of Barrier Options. Appendix 9.1 Equations for the Heston Model. Chapter 10 Non-Barrier Currency Exotic Options. Average Rate Currency Options. Compound Currency Options. Basket Options. Quantos Options. Comments on Hedging with Non-Barrier Currency Options. Appendix 10.1 Monte Carlo Simulation for Arithmetic Mean Average Options. Bibliography. Index.
- ISBN: 978-0-470-23977-3
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 272
- Fecha Publicación: 13/07/2011
- Nº Volúmenes: 1
- Idioma: Inglés