Foreign exchange option pricing : a practitioner's guide / Iain J. Clark.
By: Clark, Iain J.
Material type:
BookSeries: Wiley finance series: Publisher: Chichester, West Sussex, U.K. : Wiley, 2011Description: 1 online resource (xviii, 280 pages) : illustrations.Content type: text Media type: computer Carrier type: online resourceISBN: 9781119208679; 111920867X; 9780470977194; 0470977191.Subject(s): Options (Finance) -- Prices | Stock options | Foreign exchange rates | Foreign exchange rates | Options (Finance) -- Prices | Stock options | BUSINESS & ECONOMICS -- Foreign Exchange | Foreign exchange rates | Options (Finance) -- Prices | Stock optionsGenre/Form: Electronic books.Additional physical formats: Print version:: Foreign exchange option pricing.DDC classification: 332.4/5 Online resources: Wiley Online Library Includes bibliographical references (pages 265-270) and index.
A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.
Print version record.
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 c.
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