| Description |
xii, 387 pages : illustrations ; 24 cm |
| Series |
Wiley series in financial engineering |
|
Wiley series in financial engineering.
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| Contents |
Machine derived contents note: Partial 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 |
| Summary |
"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." "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."--BOOK JACKET |
| Notes |
Collection of scientific articles |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Exotic options (Finance)
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Foreign exchange futures.
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Foreign exchange market.
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Hedging (Finance)
|
| Author |
DeRosa, David F.
|
| LC no. |
98005653 |
| ISBN |
0471252670 (alk. paper) |
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