Download or read book Tests of an American Option Pricing Model on the Foreign Currency Options Market written by James N. Bodurtha and published by . This book was released on 1986 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book American Currency Option Pricing written by Eric C. Girard and published by . This book was released on 1999 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading in Currency Options written by W. H. Sutton and published by Prentice Hall. This book was released on 1988 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Foreign Currency Option Pricing and Properties of Ex ante Exchange Rate Variability Changes written by Fatih Akin and published by . This book was released on 1992 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Noise Trading Central Bank Interventions and the Informational Content of Foreign Currency Options written by Christian Pierdzioch and published by Springer Science & Business Media. This book was released on 2001-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Download or read book The Currency Options Handbook written by William Sutton and published by . This book was released on 1988 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Currency Derivatives written by David F. DeRosa and published by John Wiley & Sons. This book was released on 1998-09-07 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mit über einer Billion US Dollar Umsatz stellt der Devisenhandel weltweit den größten Markt dar. In diesem Markt sind Währungsderivate zu einem bevorzugten Handelsinstrument geworden, das von Großbanken, Brokerhäusern, Hedge Funds (spekulativ ausgerichteter Fonds, der mit Hilfe von Derivaten seine Gewinne zu optimieren versucht) und Handelsberatern eingesetzt wird. Zwar sind diese Instrumente heute komplexer denn je, aber sie sind ein unverzichtbares Mittel des Risikomanagements im Devisenhandel. Herausgegeben von führenden Devisenhändlern und Analysten, ist dieses Buch Basislektüre für jeden, der sich in diesem Bereich bewegt. Eine Sammlung der 20 besten und meist zitierten Beiträge zu Währungsderivaten, Preistheorie und Anwendungen von Hedging-Methoden (10/98)
Download or read book Currency Options and Exchange Rate Economics written by Zhaohui Chen and published by World Scientific. This book was released on 1998 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets. The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Download or read book A Currency Options Primer written by Shani Shamah and published by John Wiley & Sons. This book was released on 2004-04-21 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A quick and concise guide to currency options An understanding of currency options is essential for those working in investment and foreign exchange. A Currency Options Primer sets out to give readers a clear guide to how the currency option market functions, offering practical advice on mastering the necessary components and concepts for fully understanding the workings of this market.
Download or read book The Valuation of the American Premium in the Foreign Currency Options Market written by Philippe Jorion and published by . This book was released on 1987 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book European Put Call Parity and the Early Exercise Premium for American Currency Options written by Geoffrey Poitras and published by . This book was released on 2016 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The European put-call parity condition is used to estimate the early exercise premium for American currency options traded on the Philadelphia Stock Exchange. Using a sample of 331 pairs of call and put options with the same exercise price and time to expiration, evidence is provided for early exercise premiums that average 5.03% for put options and 4.60% for call options. The premiums for both call and put options are strongly related to the interest rate differential and time to expiration. These results have implications for the use of European option pricing models in the valuation of American options.
Download or read book Options on Foreign Exchange written by David F. DeRosa and published by John Wiley & Sons. This book was released on 2000-01-18 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC
Download or read book Pricing American Options with Stochastic Interest Rates written by Kaushik I. Amin and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book FX Option Performance written by Jessica James and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?
Download or read book Currency Options written by Alastair Graham and published by Routledge. This book was released on 2014-02-04 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Currency Risk Management series offers readers, researchers, and financial professional a time-tested training tool for understanding and working in the increasingly complex currency markets. This series breaks new ground in simplicity, clarity, and ease of application in risk management practice.
Download or read book An Equilibrium Approach to Pricing Foreign Currency Options written by Carsten Sørensen and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents a modified version of the Garman-Kohlhagen formula for pricing European currency options. The equilibrium approach deviates from the no-arbitrage approach by allowing domestic and foreign interest rates and their dynamics to be determined endogenously in the model. By using the relations between exchange rate dynamics and the dynamics of interest rates, I provide a new characterization of the relevant volatilities for European currency option pricing, which only depends on parameters describing the variability of the log-exchange rate. The implications of the model for the valuation of American currency options and optimal exercise strategies are examined by applying numerical methods.
