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FX option performance : an analysis of the value delivered by FX options since the start of the market / / Jessica James, Jonathan Fullwood, Peter Billington
| FX option performance : an analysis of the value delivered by FX options since the start of the market / / Jessica James, Jonathan Fullwood, Peter Billington |
| Autore | James Jessica <1968-> |
| Pubbl/distr/stampa | West Sussex, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (267 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley Finance Series |
| Soggetto topico | Options (Finance) |
| ISBN |
1-118-79327-7
1-118-79325-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
FX Option Performance; Contents; About the Authors; CHAPTER 1 Introduction; 1.1 Why Read This Book?; 1.2 This Book; 1.3 What Is an FX Option?; 1.4 Market Participants; 1.4.1 How Hedgers Can Use This Information; 1.4.2 How Investors Can Use This Information; 1.5 History and Size of the FX Option Market; 1.6 The FX Option Trading Day; 1.7 Summary; References; CHAPTER 2 The FX Option Market: How Options Are Traded and What That Implies for Option Value; 2.1 Introduction; 2.2 The Basics of Option Pricing; 2.2.1 The Black-Scholes-Merton Model; 2.2.2 The Impact of Volatility
2.2.3 The Impact of Rate Differentials 2.3 How Options Are Traded; 2.3.1 Two Views of Volatility; 2.3.2 Static Trading; 2.3.3 Dynamic Trading; 2.4 A More Detailed Discussion of Option Trading; 2.4.1 The Greeks; 2.5 Summary; References; CHAPTER 3 It Is All About the Data; 3.1 Introduction; 3.2 The Goal: To Price Lots of Options!; 3.3 Defining a Universe of Currencies; 3.4 The Data; 3.4.1 Pricing Model Data Requirements; 3.4.2 Sourcing the Data; 3.4.3 Calculation Frequency; 3.4.4 Currency of Option Notional Amount; 3.4.5 Spot Market Value; 3.5 Limitations; 3.6 Summary; References CHAPTER 4 At-the-Money-Forward (ATMF) Options 4.1 What are ATMF Options?; 4.1.1 How Are ATMF Options Used and Traded?; 4.1.2 What Is the 'Fair' Price for an ATMF Option?; 4.2 How Might Mispricings Arise?; 4.2.1 Can the Forward Rate Be on Average Wrong?; 4.2.2 Can the Implied Volatility Be on Average Wrong?; 4.2.3 Simple Example with USDJPY; 4.3 Results for Straddles for All Currency Pairs; 4.3.1 Discussion of Results for Straddles; 4.3.2 A Breakdown of the Results by Currency Pair; 4.3.3 Drilling Down to Different Time Periods; 4.3.4 Comparison of Put and Call Options 4.4 Have We Found a Trading Strategy? 4.5 Summary of Results; References; CHAPTER 5 Out-of-the-Money (OTM) Options: Do Supposedly 'Cheap' OTM Options Offer Good Value?; 5.1 Introduction; 5.2 Price versus Value; 5.3 The Implied Volatility Surface; 5.4 Why Do Volatility Surfaces Look Like They Do?; 5.4.1 Equity Indices; 5.4.2 Foreign Exchange Markets; 5.5 Parameterising the Volatility Smile; 5.6 Measuring Relative Value in ATMF and OTM Foreign Exchange Options; 5.6.1 The Analysis; 5.6.2 Option Premium; 5.6.3 Option Payoff; 5.6.4 Payoff-to-Premium Ratios; 5.6.5 Discussion 5.6.6 Alternative Measures of OTM Option Worth 5.7 Summary; Reference; CHAPTER 6 G10 vs EM Currency Pairs; 6.1 Why Consider EM and G10 Options Separately?; 6.2 How Would EM FX Options Be Used?; 6.3 Straddle Results; 6.3.1 Comparison of ATMF Put and Call Options; 6.3.2 Comparison of OTM Put and Call Options; 6.3.3 The Effect of Tenor; 6.4 Hedging with Forwards vs Hedging with Options; 6.5 Summary of Results; CHAPTER 7 Trading Strategies; 7.1 Introduction; 7.2 History of the Carry Trade; 7.3 Theory; 7.4 G10 Carry Trade Results; 7.5 EM Carry Trade Results; 7.6 What is Going On? 7.7 Option Trading Strategies- Buying Puts |
| Record Nr. | UNINA-9910818361003321 |
James Jessica <1968->
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| West Sussex, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Keene on the market [[electronic resource] ] : trade to win using unusual options activity, volatility, and earnings / / Andrew Keene
| Keene on the market [[electronic resource] ] : trade to win using unusual options activity, volatility, and earnings / / Andrew Keene |
| Autore | Keene Andrew <1979-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2013 |
| Descrizione fisica | 1 online resource (251 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley trading series |
| Soggetto topico |
Options (Finance) - United States
Speculation - United States |
| ISBN |
1-118-59073-2
1-118-59072-4 1-299-73172-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- The life of a professional trader -- Trading for a living -- Who the players are. |
| Record Nr. | UNINA-9910132531303321 |
|
Keene Andrew <1979->
|
||
| Hoboken, N.J., : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Keene on the market [[electronic resource] ] : trade to win using unusual options activity, volatility, and earnings / / Andrew Keene
| Keene on the market [[electronic resource] ] : trade to win using unusual options activity, volatility, and earnings / / Andrew Keene |
| Autore | Keene Andrew <1979-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2013 |
| Descrizione fisica | 1 online resource (251 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley trading series |
| Soggetto topico |
Options (Finance) - United States
Speculation - United States |
| ISBN |
1-118-59073-2
1-118-59072-4 1-299-73172-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- The life of a professional trader -- Trading for a living -- Who the players are. |
| Record Nr. | UNINA-9910814942303321 |
|
Keene Andrew <1979->
|
||
| Hoboken, N.J., : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
No-hype options trading [[electronic resource] ] : myths, realities, and strategies that really work / / Kerry W. Given
| No-hype options trading [[electronic resource] ] : myths, realities, and strategies that really work / / Kerry W. Given |
| Autore | Given Kerry W. <1948-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (218 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley trading series |
| Soggetto topico |
Options (Finance)
Investments |
| ISBN |
1-119-20084-9
1-283-02578-7 9786613025784 0-470-94732-2 0-470-94730-6 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
No-Hype Options Trading; Contents; Acknowledgments; Introduction; PART 1 The Foundations of Options Trading; CHAPTER 1 Option Basics; CHAPTER 2 Probability Distributions; CHAPTER 3 Options Pricing and Implied Volatility; CHAPTER 4 Vertical Spreads; PART 2 Options Strategies for Income Generation; CHAPTER 5 Using Options to Boost Income in a Stock Portfolio; CHAPTER 6 Calendar and Double Calendar Spreads; CHAPTER 7 Double Diagonal Spreads; CHAPTER 8 Butterfly Spreads; CHAPTER 9 Condor Spreads; CHAPTER 10 Delta-Neutral Trading Strategies; CHAPTER 11 Make Your Trading a Business
Appendix: Answers to the Chapter ExercisesGlossary; Index |
| Record Nr. | UNINA-9910140855303321 |
|
Given Kerry W. <1948->
|
||
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
No-hype options trading [[electronic resource] ] : myths, realities, and strategies that really work / / Kerry W. Given
| No-hype options trading [[electronic resource] ] : myths, realities, and strategies that really work / / Kerry W. Given |
| Autore | Given Kerry W. <1948-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2011 |
| Descrizione fisica | 1 online resource (218 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley trading series |
| Soggetto topico |
Options (Finance)
Investments |
| ISBN |
1-119-20084-9
1-283-02578-7 9786613025784 0-470-94732-2 0-470-94730-6 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
No-Hype Options Trading; Contents; Acknowledgments; Introduction; PART 1 The Foundations of Options Trading; CHAPTER 1 Option Basics; CHAPTER 2 Probability Distributions; CHAPTER 3 Options Pricing and Implied Volatility; CHAPTER 4 Vertical Spreads; PART 2 Options Strategies for Income Generation; CHAPTER 5 Using Options to Boost Income in a Stock Portfolio; CHAPTER 6 Calendar and Double Calendar Spreads; CHAPTER 7 Double Diagonal Spreads; CHAPTER 8 Butterfly Spreads; CHAPTER 9 Condor Spreads; CHAPTER 10 Delta-Neutral Trading Strategies; CHAPTER 11 Make Your Trading a Business
Appendix: Answers to the Chapter ExercisesGlossary; Index |
| Record Nr. | UNINA-9910809458203321 |
|
Given Kerry W. <1948->
|
||
| Hoboken, NJ, : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor
| Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2008 |
| Descrizione fisica | 1 online resource (374 p.) |
| Disciplina | 332.64/53 |
| Altri autori (Persone) | EhrhardtMatthias |
| Soggetto topico |
Options (Finance) - Prices - Mathematical models
Investments - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-60876-421-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910452462003321 |
| New York, : Nova Science Publishers, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor
| Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2008 |
| Descrizione fisica | 1 online resource (374 p.) |
| Disciplina | 332.64/53 |
| Altri autori (Persone) | EhrhardtMatthias |
| Soggetto topico |
Options (Finance) - Prices - Mathematical models
Investments - Mathematical models |
| ISBN | 1-60876-421-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910779523303321 |
| New York, : Nova Science Publishers, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor
| Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2008 |
| Descrizione fisica | 1 online resource (374 p.) |
| Disciplina | 332.64/53 |
| Altri autori (Persone) | EhrhardtMatthias |
| Soggetto topico |
Options (Finance) - Prices - Mathematical models
Investments - Mathematical models |
| ISBN | 1-60876-421-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910824761403321 |
| New York, : Nova Science Publishers, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus
| Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (474 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance) - Prices
Probabilities Stochastic processes Time-series analysis R (Computer program language) |
| ISBN |
1-283-40519-9
9786613405197 1-119-99008-4 1-119-99007-6 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Pricing and Estimation of Financial Models with R; Contents; Preface; 1 A synthetic view; 1.1 The world of derivatives; 1.1.1 Different kinds of contracts; 1.1.2 Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of options; 1.1.5 How to model asset prices; 1.1.6 One step beyond; 1.2 Bibliographical notes; References; 2 Probability, random variables and statistics; 2.1 Probability; 2.1.1 Conditional probability; 2.2 Bayes' rule; 2.3 Random variables; 2.3.1 Characteristic function; 2.3.2 Moment generating function; 2.3.3 Examples of random variables; 2.3.4 Sum of random variables
2.3.5 Infinitely divisible distributions2.3.6 Stable laws; 2.3.7 Fast Fourier Transform; 2.3.8 Inequalities; 2.4 Asymptotics; 2.4.1 Types of convergences; 2.4.2 Law of large numbers; 2.4.3 Central limit theorem; 2.5 Conditional expectation; 2.6 Statistics; 2.6.1 Properties of estimators; 2.6.2 The likelihood function; 2.6.3 Efficiency of estimators; 2.6.4 Maximum likelihood estimation; 2.6.5 Moment type estimators; 2.6.6 Least squares method; 2.6.7 Estimating functions; 2.6.8 Confidence intervals; 2.6.9 Numerical maximization of the likelihood; 2.6.10 The δ-method; 2.7 Solution to exercises 2.8 Bibliographical notesReferences; 3 Stochastic processes; 3.1 Definition and first properties; 3.1.1 Measurability and filtrations; 3.1.2 Simple and quadratic variation of a process; 3.1.3 Moments, covariance, and increments of stochastic processes; 3.2 Martingales; 3.2.1 Examples of martingales; 3.2.2 Inequalities for martingales; 3.3 Stopping times; 3.4 Markov property; 3.4.1 Discrete time Markov chains; 3.4.2 Continuous time Markov processes; 3.4.3 Continuous time Markov chains; 3.5 Mixing property; 3.6 Stable convergence; 3.7 Brownian motion; 3.7.1 Brownian motion and random walks 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion and partial differential equations; 3.8 Counting and marked processes; 3.9 Poisson process; 3.10 Compound Poisson process; 3.11 Compensated Poisson processes; 3.12 Telegraph process; 3.12.1 Telegraph process and partial differential equations; 3.12.2 Moments of the telegraph process; 3.12.3 Telegraph process and Brownian motion; 3.13 Stochastic integrals; 3.13.1 Properties of the stochastic integral; 3.13.2 Itô formula; 3.14 More properties and inequalities for the Itô integral; 3.15 Stochastic differential equations 3.15.1 Existence and uniqueness of solutions3.16 Girsanov's theorem for diffusion processes; 3.17 Local martingales and semimartingales; 3.18 Lévy processes; 3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and random measures; 3.18.3 Itô-Lévy decomposition of a Lévy process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô formula for Lévy processes; 3.18.6 Lévy processes and martingales; 3.18.7 Stochastic differential equations with jumps; 3.18.8 Itô formula for Lévy driven stochastic differential equations; 3.19 Stochastic differential equations in Rn; 3.20 Markov switching diffusions 3.21 Solution to exercises |
| Record Nr. | UNINA-9910133450703321 |
|
Iacus Stefano M (Stefano Maria)
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus
| Option pricing and estimation of financial models with R [[electronic resource] /] / Stefano M. Iacus |
| Autore | Iacus Stefano M (Stefano Maria) |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (474 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance) - Prices
Probabilities Stochastic processes Time-series analysis R (Computer program language) |
| ISBN |
1-283-40519-9
9786613405197 1-119-99008-4 1-119-99007-6 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Option Pricing and Estimation of Financial Models with R; Contents; Preface; 1 A synthetic view; 1.1 The world of derivatives; 1.1.1 Different kinds of contracts; 1.1.2 Vanilla options; 1.1.3 Why options?; 1.1.4 A variety of options; 1.1.5 How to model asset prices; 1.1.6 One step beyond; 1.2 Bibliographical notes; References; 2 Probability, random variables and statistics; 2.1 Probability; 2.1.1 Conditional probability; 2.2 Bayes' rule; 2.3 Random variables; 2.3.1 Characteristic function; 2.3.2 Moment generating function; 2.3.3 Examples of random variables; 2.3.4 Sum of random variables
2.3.5 Infinitely divisible distributions2.3.6 Stable laws; 2.3.7 Fast Fourier Transform; 2.3.8 Inequalities; 2.4 Asymptotics; 2.4.1 Types of convergences; 2.4.2 Law of large numbers; 2.4.3 Central limit theorem; 2.5 Conditional expectation; 2.6 Statistics; 2.6.1 Properties of estimators; 2.6.2 The likelihood function; 2.6.3 Efficiency of estimators; 2.6.4 Maximum likelihood estimation; 2.6.5 Moment type estimators; 2.6.6 Least squares method; 2.6.7 Estimating functions; 2.6.8 Confidence intervals; 2.6.9 Numerical maximization of the likelihood; 2.6.10 The δ-method; 2.7 Solution to exercises 2.8 Bibliographical notesReferences; 3 Stochastic processes; 3.1 Definition and first properties; 3.1.1 Measurability and filtrations; 3.1.2 Simple and quadratic variation of a process; 3.1.3 Moments, covariance, and increments of stochastic processes; 3.2 Martingales; 3.2.1 Examples of martingales; 3.2.2 Inequalities for martingales; 3.3 Stopping times; 3.4 Markov property; 3.4.1 Discrete time Markov chains; 3.4.2 Continuous time Markov processes; 3.4.3 Continuous time Markov chains; 3.5 Mixing property; 3.6 Stable convergence; 3.7 Brownian motion; 3.7.1 Brownian motion and random walks 3.7.2 Brownian motion is a martingale3.7.3 Brownian motion and partial differential equations; 3.8 Counting and marked processes; 3.9 Poisson process; 3.10 Compound Poisson process; 3.11 Compensated Poisson processes; 3.12 Telegraph process; 3.12.1 Telegraph process and partial differential equations; 3.12.2 Moments of the telegraph process; 3.12.3 Telegraph process and Brownian motion; 3.13 Stochastic integrals; 3.13.1 Properties of the stochastic integral; 3.13.2 Itô formula; 3.14 More properties and inequalities for the Itô integral; 3.15 Stochastic differential equations 3.15.1 Existence and uniqueness of solutions3.16 Girsanov's theorem for diffusion processes; 3.17 Local martingales and semimartingales; 3.18 Lévy processes; 3.18.1 Lévy-Khintchine formula; 3.18.2 Lévy jumps and random measures; 3.18.3 Itô-Lévy decomposition of a Lévy process; 3.18.4 More on the Lévy measure; 3.18.5 The Itô formula for Lévy processes; 3.18.6 Lévy processes and martingales; 3.18.7 Stochastic differential equations with jumps; 3.18.8 Itô formula for Lévy driven stochastic differential equations; 3.19 Stochastic differential equations in Rn; 3.20 Markov switching diffusions 3.21 Solution to exercises |
| Record Nr. | UNINA-9910827249303321 |
|
Iacus Stefano M (Stefano Maria)
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
