Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications

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Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications

By: David DeRosa

Normal price: 47.5
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Product code: 9582
ISBN: 0471252670
368 pages
Format: Hb
Published by: John Wiley & Sons, 1998, 1st edition

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Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications - front page cover image

Description of Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications

This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional trader in the dealing rooms of London, New York, Tokyo, and Singapore.

The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility option pricing models, barrier options, Asian options, and various sorts of quanto options.

Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications - Chapter headings

PART 1: FORWARDS AND FUTURES CONTRACTS ON FOREIGN EXCHANGE

1. The Relation Between Forward Prices And Futures Prices
2. Forward And Futures Contracts On Foreign Exchange
3. Forward And Futures Prices: Evidence From The Foreign Exchange Markets

PART 2: CURRENCY OPTION PRICING MODELS

4. Foreign Currency Option Values
5. Valuing Foreign Exchange Rate Derivatives With A Bounded Exchange Process
6. Efficient Analytic Approximation Of American Option Values
7. A Simple Technique For The Valuation And Hedging Of American Options

PART 3: CURRENCY FUTURES OPTIONS PRICING MODELS

8. The Pricing of Commodity Contracts
9. On Valuing American Futures Options

PART 4: IMPLIED VOLATILITY IN CURRENCY DERIVATIVES

10. The Magnitude Of Implied Volatility Smiles: Theory And Empirical Evidence For Exchange Rates
11. The Term Structure Of Volatility Implied By Foreign Exchange Options

PART 5: JUMP PROCESS AND STOCHASTIC VOLATILITY MODELS FOR CURRENCY DERIVATIVES

12. Dollar Jump Fears, 1984-1992: Distributional Abnormalities Implicit In Currency Futures Options
13. On Jump Processes In The Foreign Exchange And Stock Markets
14. Pricing European Currency Options: A Comparison Of The Modified Black-Scholes Model And A Random Variance Model

PART 6: BARRIER, BINARY, AND AVERAGE CURRENCY OPTIONS

15. On Pricing Barrier Options
16. Pricing And Hedging Double-Barrier Options: A Probabilistic Approach
17. One-Touch Double Barrier Binary Option Values
18. Pricing European Average Rate Currency Options

PART 7: QUANTOS OPTIONS AND EQUITY WARRANTS WITH SPECIAL CURRENCY FEATURES

19. Understanding Guaranteed Exchange-Rate Contracts In Foreign Stock Investments
20. The Perfect Hedge: To Quanto Or Not To Quanto
21. Pricing Foreign Index Contingent Claims: An Application to Nikkei Index Warrents

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