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Record Nr. |
UNINA9910139557303321 |
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Autore |
Clark Iain J |
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Titolo |
Foreign exchange option pricing [[electronic resource] ] : a practitioner's guide / / Iain J. Clark |
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Pubbl/distr/stampa |
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Chichester [England], : Wiley, 2011 |
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ISBN |
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1-119-20867-X |
1-283-23956-6 |
9786613239563 |
0-470-97719-1 |
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Edizione |
[1st edition] |
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Descrizione fisica |
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1 online resource (300 p.) |
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Collana |
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Disciplina |
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Soggetti |
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Options (Finance) - Prices |
Stock options |
Foreign exchange rates |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. [265]-270) and index. |
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Nota di contenuto |
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A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility. |
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Sommario/riassunto |
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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 ri |
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