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Options on Foreign Exchange
ISBN
9781118266953
Uitgever
John Wiley & Sons
Druk vanaf
1e
Verschenen
01-01-2011
Taal
Engels
Genre
Management, Economie & Communicatie
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Options on Foreign Exchange

The foreign exchange market is the largest of all of the financial markets. By one estimate over $4 trillion changed hands a day in 2010. Parallel to trading in spot and forward foreign exchange is the currency options market-by itself, a colossal market. In addition to standard "vanilla" options, there are exotic options. Most are barrier options but others, such as Asian, compound, basket, and quantos options on currencies also exist. Yet despite all of this, the currency options market remains relatively unknown, professional foreign exchange traders being an exception. This book details research concerning derivatives on foreign exchange, focusing initially on a breakthrough adaptation of the Black-Scholes formula for standard currrency options. Additionally, models that grew out of Black-Scholes exist for many common exotic options. Currency options, like equity options, experience volatility smiles and skews. This has led to the development of new families of options models, some with jump process features and others with stochastic volatility and local volatility components. The foreign exchange options market is more than a market for puts and calls on dollars, euros, pounds, and yen (to name a few of the large currencies). The currencies of emerging markets also have options. And these can be markedly different from the cases of the big currencies. Meantime, the market has a mind of its own. Specifically, the period 2007-2008 presented some market experiences that are memorable if not bizarre. Options on Foreign Exchange, Third Edition brings all of this together in an organized and coherent presentation.
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