Foreign Exchange Option Pricing pdf epub mobi txt 电子书 下载 2024


Foreign Exchange Option Pricing

简体网页||繁体网页
Iain J. Clark
Wiley
2011-1-18
298
USD 125.00
Hardcover
9780470683682

图书标签: 外汇  Finance  FX-Options  FX  期权  定价  Trading   


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发表于2024-12-24

Foreign Exchange Option Pricing epub 下载 mobi 下载 pdf 下载 txt 电子书 下载 2024

Foreign Exchange Option Pricing epub 下载 mobi 下载 pdf 下载 txt 电子书 下载 2024

Foreign Exchange Option Pricing pdf epub mobi txt 电子书 下载 2024



图书描述

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. Table of Contents Mathematical Preliminaries Deltas and Market Conventions Volatility Surface Construction Local Volatility and Implied Volatility Stochastic Volatility Numerical Methods for Pricing and Calibration First Generation Exotics – Binary and Barrier Options Second Generation Exotics Multicurrency Options Long-dated FX Options

Foreign Exchange Option Pricing 下载 mobi epub pdf txt 电子书

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Foreign Exchange Option Pricing pdf epub mobi txt 电子书 下载
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用户评价

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难度挺大的,但是不可否认是本好书。

评分

难度挺大的,但是不可否认是本好书。

评分

难度挺大的,但是不可否认是本好书。

评分

难度挺大的,但是不可否认是本好书。

评分

难度挺大的,但是不可否认是本好书。

读后感

评分

讲这本书,就要提到另一位作者的一本书, FX options and structured products by Uwe Wystup。 两本书都是以外汇期权为关注点,这本书是从一个工程师的角度讲具体的模型细节,而Uwe Wystup的书则是从市场的参与者角度讲交易的细节。如果你更关心外汇定价中使用模型的数学细...

评分

讲这本书,就要提到另一位作者的一本书, FX options and structured products by Uwe Wystup。 两本书都是以外汇期权为关注点,这本书是从一个工程师的角度讲具体的模型细节,而Uwe Wystup的书则是从市场的参与者角度讲交易的细节。如果你更关心外汇定价中使用模型的数学细...

评分

讲这本书,就要提到另一位作者的一本书, FX options and structured products by Uwe Wystup。 两本书都是以外汇期权为关注点,这本书是从一个工程师的角度讲具体的模型细节,而Uwe Wystup的书则是从市场的参与者角度讲交易的细节。如果你更关心外汇定价中使用模型的数学细...

评分

讲这本书,就要提到另一位作者的一本书, FX options and structured products by Uwe Wystup。 两本书都是以外汇期权为关注点,这本书是从一个工程师的角度讲具体的模型细节,而Uwe Wystup的书则是从市场的参与者角度讲交易的细节。如果你更关心外汇定价中使用模型的数学细...

评分

讲这本书,就要提到另一位作者的一本书, FX options and structured products by Uwe Wystup。 两本书都是以外汇期权为关注点,这本书是从一个工程师的角度讲具体的模型细节,而Uwe Wystup的书则是从市场的参与者角度讲交易的细节。如果你更关心外汇定价中使用模型的数学细...

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