Cover ; Title Page ; Copyright ; Contents ; List of Tables; List of Figures; Preface; About the Author; Acknowledgments; Chapter 1: Foreign Exchange Derivatives ; 1.1 Literature Review ; 1.2 A Journey through the History of Options ; 1.3 Currency Options ; 1.4 Technical Issues for Vanilla Options
1.4.1 Valuation in the Black-Scholes Model 1.4.2 A Note on the Forward ; 1.4.3 Vanilla Greeks in the Black-Scholes Model ; 1.4.4 Reoccurring Identities ; 1.4.5 Homogeneity based Relationships ; 1.4.6 Quotation Conventions ; 1.4.7 Strike in Terms of Delta
1.4.8 Volatility in Terms of Delta 1.4.9 Volatility and Delta for a Given Strike ; 1.4.10 Greeks in Terms of Deltas ; 1.4.11 Settlement ; 1.4.12 Exercises ; 1.5 Volatility ; 1.5.1 Historic Volatility ; 1.5.2 Historic Correlation ; 1.5.3 Volatility Smile
1.5.4 At-The-Money Volatility Interpolation 1.5.5 Volatility Smile Conventions ; 1.5.6 At-The-Money Definition ; 1.5.7 Interpolation of the Volatility on Fixed Maturity Pillars ; 1.5.8 Interpolation of the Volatility Spread between Maturity Pillars ; 1.5.9 Volatility Sources
