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Options on foreign exchange / David F. DeRosa

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Wiley finance series | Wiley Finance Ser ; v.437Publisher: Hoboken, N.J : J. Wiley, c2011Copyright date: ©2011Edition: 3rd ed (Online-Ausg.)Description: Online-Ressource (1 online resource (xiii, 287 p.)) : illISBN:
  • 9781283176736
  • 1283176734
  • 9781118097557
Subject(s): Additional physical formats: 9780470239773 | 9781118097557 | 1283176491 | Erscheint auch als: Options on foreign exchange. Druck-Ausgabe 3. ed. New York : Wiley, 2011. XIII, 267 S.DDC classification:
  • 332.64/53 22
  • 332.6453
  • BUS027000
RVK: RVK: QK 660LOC classification:
  • HG6024.A3
Online resources: Summary: A comprehensive guide to the world's largest financialmarket Foreign exchange is the world's largest financial market andcontinues to grow at a rapid pace. As economies intertwine andcurrencies fluctuate there is hardly a corporate entity thatdoesn't need to use options on foreign exchange to hedge risk orincrease returns. Moreover, currency options, both vanilla andexotic, are part of standard toolkit of professional portfoliomanagers and hedge funds. Written by a practitioner with real-world experience in thisfield, the Third Edition of Options on ForeignExchange opens with a substantive discussion of the spot andforward foreign exchange market and the mechanics of tradingcurrency options. The Black-Scholes-Merton option-pricing model asapplied to currency options is also covered, along with anexamination of currency futures options. Throughout the book,author David DeRosa addresses the essential elements of thisdiscipline and prepares you for the various challenges you couldface. Updates new developments in the foreign exchange markets,particularly regarding the volatility surfaceIncludes expanded coverage of the currency crises and capitalcontrols, electronic trading, forward contracts, exotic options,and moreEmploys real-world terminology so you can a firm understandingof this dynamic marketplace The only way to truly succeed in today's foreign exchange marketis by becoming more familiar with currency options. The ThirdEdition of Options on Foreign Exchange will help youachieve this goal and put you in better position to make moreprofitable decisions in this arena.Summary: Intro -- Options on Foreign Exchange -- Contents -- Preface -- What's New to This Edition -- Before You Begin -- Acknowledgments -- CHAPTER 1 Foreign Exchange Basics -- The Foreign Exchange Market -- The International Monetary System -- Spot Foreign Exchange and Market Conventions -- Foreign Exchange Dealing -- Interest Parity and Forward Foreign Exchange -- Departures from Covered Interest Parity in 2007-2008 -- CHAPTER 2 Trading Currency Options -- The Interbank Currency Option Market -- Option Basics -- Listed Options on Actual Foreign Currency -- Currency Futures Contracts -- Listed Currency Futures Options -- CHAPTER 3 Valuation of European Currency Options -- Arbitrage Theorems -- Put-Call Parity for European Currency Options -- The Black-Scholes-Merton Model -- How Currency Options Trade in the Interbank Market -- Reflections on the Contribution of Black, Scholes, and Merton -- CHAPTER 4 European Currency Option Analytics -- Base-Case Analysis -- The "Greeks" -- Special Properties of At-the-Money Forward Options -- Directional Trading with Currency Options -- Hedging with Currency Options -- Appendix 4.1 Derivation of the BSM Deltas -- CHAPTER 5 Volatility -- Alternative Meanings of Volatility -- Some Volatility History -- Construction of the Volatility Surface -- The Vanna-Volga Method -- The Sticky Delta Rule -- Risk-Neutral Densities -- Dealing in Currency Options -- Trading Volatility -- Mixing Directional and Volatility Trading -- Appendix 5.1 Vanna-Volga Approximations -- CHAPTER 6 American Exercise Currency Options -- Arbitrage Conditions -- Put-Call Parity for American Currency Options -- The General Theory of American Currency Option Pricing -- The Economics of Early Exercise -- The Binomial Model -- The Binomial Model for European Currency Options -- American Currency Options by Approximation -- Finite Differences Methods.PPN: PPN: 809350564Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
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