Foreign exchange risk : models, instruments and strategies /
| Other Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London :
Risk Books,
[2002]
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| Subjects: |
Table of Contents:
- pt. I. Market: products and basics. 1. Vanilla options. 2. Volatility management. 3. Handling differing expiry and delivery dates. 4. The impact of non-business days on the pricing of options. 5. Barrier options
- an overview. 6. The pricing of first generation exotics. 7. The pricing of second generation exotics. 8. Quanto options. 9. No-arbitrage bounds and static hedging of compound options. 10. Taking a corporate view: zero-cost structures. 11. Probability density functions and related tools. 12. A note on forward and backward partial differential equations
- part II. Risk management. 13. Efficient computation of option price sensitivities using homogeneity and other tricks. 14. How the Greeks would have hedged correlation risk of foreign exchange options
- part III. Models and applications to exotic options. 15. An arithmetic average model with applications to pricing Asian and basket options. 16. Finite differences. 17. Monte Carlo simulations and variance reduction techniques. 18. Quasi-random numbers and their applicatiion to pricing basket and lookback options. 19. Quasi-Monte Carlo techniques for the valuation of contingent claims on several assets. 20. Binomial trees in one and two dimensions. 21. Fast fourier method for the valuation of options on several correlated currencies. 22. Local volatility surfaces
- tackling the smile. 23. Heston's stochastic volatility model applied to foreign exchange options. 24. Valuation of options in Heston's stochastic volatility model using finite element mehtods. 25. A jump-diffusion model applied to foreign exchange markets. 26. A model for long-term foreign exchange options. 27. Dealing with dangerous digitals.