Description
Book SynopsisA 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
Table of ContentsPartial table of contents:
Foreign Exchange and Its Related Derivative Instruments (D. DeRosa).
FORWARDS AND FUTURES CONTRACTS ON FOREIGN EXCHANGE.
Forward and Futures Contracts on Foreign Exchange (D. DeRosa).
CURRENCY OPTION PRICING MODELS.
Foreign Currency Option Values (M. Garman & S. Kohlhagen).
Efficient Analytic Approximation of American Option Values (G. Barone-Adesi & R. Whaley).
CURRENCY FUTURES OPTIONS PRICING MODELS.
The Pricing of Commodity Contracts (F. Black).
On Valuing American Futures Options (R. Whaley).
IMPLIED VOLATILITY IN CURRENCY DERIVATIVES.
The Term Structure of Volatility Implied by Foreign Exchange Options (X. Xu & S. Taylor).
JUMP PROCESS AND STOCHASTIC VOLATILITY MODELS FOR CURRENCY DERIVATIVES.
On Jump Processes in the Foreign Exchange and Stock Markets (P. Jorion).
BARRIER, BINARY, AND AVERAGE CURRENCY OPTIONS.
On Pricing Barrier Options (P. Ritchken).
One-Touch Double Barrier Binary Option Values (C. Hui).
Pricing European Average Rate Currency Options (E. Levy).
QUANTOS OPTIONS AND EQUITY WARRANTS WITH SPECIAL CURRENCY FEATURES.
The Perfect Hedge: To Quanto or Not to Quanto (C. Piros).
Index.
