FX barrier options

FX barrier options: a comprehensive guide for industry quants

by Dadachanji, Zareer

Type Book
Rate 0.0 /5

This book is a quantitative quide to barrier options in FX environments. "Cover " -- "Half-Title " -- "Tltle" -- "Copyright" -- "Dedication" -- "Contents" -- "List of Figures" -- "List of Tables" -- "Preface" -- "Acknowledgements" -- "Foreword" -- "Glossary of Mathematical Notation" -- "Contract Types" -- "1 Meet the Products" -- "1.1 Spot" -- "1.1.1 Dollars per euro or euros per dollar?" -- "1.1.2 Big figures and small figures" -- "1.1.3 The value of Foreign" -- "1.1.4 Converting between Dome…

Read More ↓
Details
Files
Reviews
Download

Title Statements

  • Full title :FX barrier options : a comprehensive guide for industry quants / Zareer Dadachanji, director, Model Quant Solutions, Bremen, Germany.

Summary

This book is a quantitative quide to barrier options in FX environments.

"Cover " -- "Half-Title " -- "Tltle" -- "Copyright" -- "Dedication" -- "Contents" -- "List of Figures" -- "List of Tables" -- "Preface" -- "Acknowledgements" -- "Foreword" -- "Glossary of Mathematical Notation" -- "Contract Types" -- "1 Meet the Products" -- "1.1 Spot" -- "1.1.1 Dollars per euro or euros per dollar?" -- "1.1.2 Big figures and small figures" -- "1.1.3 The value of Foreign" -- "1.1.4 Converting between Domestic and Foreign" -- "1.2 Forwards" -- "1.2.1 The FX forward market" -- "1.2.2 A formula for the forward rate" -- "1.2.3 Payoff of a forward contract" -- "1.2.4 Valuation of a forward contract" -- "1.3 Vanilla options" -- "1.3.1 Putâ#x80;#x93;call parity" -- "1.4 European digitals" -- "1.5 Barrier-contingent vanilla options" -- "1.6 Barrier-contingent payments" -- "1.7 Rebates" -- "1.8 Knock-in-knock-out (KIKO) options" -- "1.9 Types of barriers" -- "1.10 Structured products" -- "1.11 Specifying the contract" -- "1.12 Quantitative truisms" -- "1.12.1 Foreign exchange symmetry and inversion" -- "1.12.2 Knock-out plus knock-in equals no-barrier contract" -- "1.12.3 Putâ#x80;#x93;call parity" -- "1.13 Jargon-buster" -- "2 Living in a Blackâ#x80;#x93;Scholes World" -- "2.1 The Blackâ#x80;#x93;Scholes model equation forspot price" -- "2.2 The process for ln S" -- "2.3 The Blackâ#x80;#x93;Scholes equation for option pricing" -- "2.3.1 The lagless approach" -- "2.3.2 Derivation of the Blackâ#x80;#x93;Scholes PDE" -- "2.3.3 Blackâ#x80;#x93;Scholes model: hedging assumptions" -- "2.3.4 Interpretation of the Blackâ#x80;#x93;Scholes PDE" -- "2.4 Solving the Blackâ#x80;#x93;Scholes PDE" -- "2.5 Payments" -- "2.6 Forwards" -- "2.7 Vanilla options" -- "2.7.1 Transformation of the Blackâ#x80;#x93;Scholes PDE" -- "2.7.2 Solution of the diffusion equation for vanilla options" -- "2.7.3 The vanilla option pricing formulae" -- "2.7.4 Price quotation styles" -- "2.7.5 Valuation behaviour of vanilla options".

Read More ↓

Edition Statements

  • Publication Date:2015.

Publication Statements

  • Publisher(s):Palgrave Macmillan
  • Place of Publication:Basingstoke, Hampshire
  • Language:eng
  • Publication Date:2015.

The Physical Object

  • Description:1 online resource (277 Seiten) : : Illustrationen.

Edition Identifiers

  • ISBN:9781137462749, 1137462744, 9781137462756, 1137462752
  • oclc:ocn932571714
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.6453

Subjects

Options

Writers

Dadachanji, Zareer

More from this Series

Rate & Review

0.0/5
(0 people Voted)

No reviews yet. Be the first to rate this work.

Files & Downloads

  • FX Barrier Options: A Comprehensive Guide for Ind…

    PDF · 2.0 MB · updated
    Login →

  • FX barrier options : a comprehensive guide for in…

    PDF · 2.1 MB · updated
    Login →
Log in to request a copy