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 a… Plus…
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; EPUB; Business,Finance and Law > Finance & accounting > Finance > Investment & securities, Taylor and Francis<
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No. 9781119978602. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise Details...
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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 a… Plus…
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. eBooks > Fremdsprachige eBooks > Englische eBooks > Ratgeber & Freizeit > Business & Karriere; eBooks > Fachbücher > Wirtschaft; eBooks > Fremdsprachige eBooks > Englische eBooks > Sach- & Fachthemen; eBooks > Fachbücher > Sozialwissenschaft , John Wiley & Sons Inc, John Wiley & Sons Inc<
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Nr. A1033872291. Frais d'envoiLieferzeiten außerhalb der Schweiz 3 bis 21 Werktage, , Sofort per Download lieferbar, zzgl. Versandkosten. (EUR 18.73) Details...
(*) Livre non disponible signifie que le livre est actuellement pas disponible à l'une des plates-formes associées nous recherche.
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 a… Plus…
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.; EPUB; Business,Finance and Law > Finance & accounting, Wiley<
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No. 9781119978602. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise Details...
(*) Livre non disponible signifie que le livre est actuellement pas disponible à l'une des plates-formes associées nous recherche.
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 a… Plus…
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; EPUB; Business,Finance and Law > Finance & accounting > Finance > Investment & securities, Taylor and Francis<
No. 9781119978602. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise
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 a… Plus…
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. eBooks > Fremdsprachige eBooks > Englische eBooks > Ratgeber & Freizeit > Business & Karriere; eBooks > Fachbücher > Wirtschaft; eBooks > Fremdsprachige eBooks > Englische eBooks > Sach- & Fachthemen; eBooks > Fachbücher > Sozialwissenschaft , John Wiley & Sons Inc, John Wiley & Sons Inc<
Nr. A1033872291. Frais d'envoiLieferzeiten außerhalb der Schweiz 3 bis 21 Werktage, , Sofort per Download lieferbar, zzgl. Versandkosten. (EUR 18.73)
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 a… Plus…
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.; EPUB; Business,Finance and Law > Finance & accounting, Wiley<
No. 9781119978602. Frais d'envoiInstock, Despatched same working day before 3pm, zzgl. Versandkosten., Livraison non-comprise
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Informations détaillées sur le livre - Foreign Exchange Option Pricing
EAN (ISBN-13): 9781119978602 ISBN (ISBN-10): 1119978602 Date de parution: 2011 Editeur: Wiley, J 298 Pages Langue: eng/Englisch
Livre dans la base de données depuis 2012-01-16T01:34:13+01:00 (Zurich) Page de détail modifiée en dernier sur 2024-03-26T23:01:51+01:00 (Zurich) ISBN/EAN: 9781119978602
ISBN - Autres types d'écriture: 1-119-97860-2, 978-1-119-97860-2 Autres types d'écriture et termes associés: Auteur du livre: michael jones Titre du livre: option pricing
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