Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
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-9910140486803321 |
James Jessica <1968->
|
||
| West Sussex, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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->
|
||
| West Sussex, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook of exchange rates / / edited by Jessica James, Ian W. Marsh, Lucio Sarno
| Handbook of exchange rates / / edited by Jessica James, Ian W. Marsh, Lucio Sarno |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2012 |
| Descrizione fisica | 1 online resource (854 p.) |
| Disciplina | 332.4/56 |
| Altri autori (Persone) |
JamesJessica <1968->
MarshIan W. <1966-> SarnoLucio |
| Collana |
Wiley handbooks in financial engineering and econometrics
Wiley handbooks in financial engineering and econometrics |
| Soggetto topico |
Foreign exchange rates
Foreign exchange |
| ISBN |
9781118445785
1118445783 9781283665032 1283665034 9781118445754 1118445759 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Part I. Overview 1. Foreign Exchange Market Structure, Players and Evolution 2. Macro Approaches to Foreign Exchange Determination 3. Micro Approaches to Foreign Exchange Determination 4. The Exchange Rate in a Behavioural Finance Framework 5. The Evolution of Exchange Rate Regimes and Some Future Perspective Part II. Exchange Rate Models and Methods 6. Purchasing Power Parity in Economic History 7. Purchasing Power Parity in Tradable Goods 8. Statistical and Economic Methods for Evaluating Exchange Rate Predictability 9. When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts? 10. Carry Trades and Risk 11. Currency Fair Value Models 12. Technical Analysis in the Foreign Exchange Market 13. Modeling Exchange Rates with Incomplete Information 14. Exchange Rates in a Stochastic Discount Factor Framework 15. Volatility and Correlation Timing in Active Currency Management Part III. FX Markets and Products 16. Is There a Premium for Currency Investing (Beta) 17. Is There Skill or Alpha in Currency Investing? 18. Currency Hedging for International Bond and Equity Investors 19. FX Reserve Management 20. High frequency finance: Using scaling laws to build trading models 21. Algorithmic Execution in Foreign Exchange 22. Foreign Exchange Strategy Based Products 23. Foreign exchange futures, forwards and swaps 24. Options and Volatility Derivatives Part IV. FX Markets and Policy 25. A Common Framework for Thinking about Currency Crises 26. Official Intervention in the Foreign Exchange Market 27. Exchange Rate Misalignment - The Case of the Chinese Renminbi. |
| Record Nr. | UNINA-9910141379603321 |
| Hoboken, N.J., : John Wiley & Sons, Inc., 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Interest rate modelling / Jessica James and Nick Webber
| Interest rate modelling / Jessica James and Nick Webber |
| Autore | JAMES, Jessica |
| Pubbl/distr/stampa | Cichester : John Yiley & Sons, 2001 |
| Descrizione fisica | XVIII, 654 : graf. ; 23 cm |
| Disciplina | 332.82(Tassi di interesse) |
| Altri autori (Persone) | WEBBER, Nick |
| Soggetto topico | Tassi di interesse |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005507220203316 |
|
JAMES, Jessica
|
||
| Cichester : John Yiley & Sons, 2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Random walks in fixed income and foreign exchange : unexpected discoveries in issuance, investment and hedging of yield curve instruments / / Jessica James, Michael Leister, Christoph Rieger
| Random walks in fixed income and foreign exchange : unexpected discoveries in issuance, investment and hedging of yield curve instruments / / Jessica James, Michael Leister, Christoph Rieger |
| Autore | James Jessica <1968-> |
| Pubbl/distr/stampa | Berlin ; ; Boston, MA : , : Walter de Gruyter GmbH, , [2021] |
| Descrizione fisica | 1 online resource (XIV, 182 p.) |
| Disciplina | 332.632044 |
| Collana | The Moorad Choudhry Global Banking Series |
| Soggetto topico |
Fixed-income securities
Foreign exchange - Econometric models |
| Soggetto non controllato | Fixed income, Foreign exchange, FX hedging, Financial instruments, Random Walk |
| ISBN | 3-11-068873-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Advance Praise for Random Walks in Fixed Income and Foreign Exchange -- Foreword -- Contents -- Preface -- Chapter 1 What Really is the Cross-Currency Basis? -- Chapter 2 XVA and the Cross-Currency Basis -- Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups -- Chapter 4 FX Hedging of Fixed Income – What is the Best Way? -- Chapter 5 Introducing the Conversion Factor -- Chapter 6 An Empirical Method of Calculating the Term Premium -- Chapter 7 An Update of the Term Premium Calculation -- Chapter 8 Forward Curves, Duration and Convexity -- Chapter 9 Implied vs Realised Convexity -- List of Figures -- List of Tables -- About the Authors -- References -- Index |
| Record Nr. | UNINA-9910554229903321 |
|
James Jessica <1968->
|
||
| Berlin ; ; Boston, MA : , : Walter de Gruyter GmbH, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||