FX barrier options

FX barrier options: a comprehensive guide for industry quants

by Dadachanji, Zareer

Type Book
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Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products common…

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Title Statements

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

Summary

Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave. FX Barrier Options takes a quantitative approach to barrier options in FX environments. It offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon. --

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Edition Statements

  • Publication Date:2015.

Publication Statements

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

Notes

Titre de l'écran-titre (visionné le 1 juin 2016).

TRAITEMENT SOMMAIRE.

The Physical Object

  • Description:1 ressource en ligne

Edition Identifiers

  • ISBN:9781137462763, 1137462760
  • oclc:ocn951374634
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.64/53

Subjects

Exotic options (Finance) -- Mathematica… Foreign exchange options Foreign exchange options -- Mathematica… Livres électroniques Option de change Option de change -- Modèles mathématiqu… Options exotiques (Finances) -- Modèles…

Writers

Dadachanji, Zareer

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