Foreign exchange option pricing : a practitioner's guide / Iain J. Clark.
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TextSeries: Wiley finance seriesPublication details: Chichester, West Sussex, U.K. : Wiley, 2011.Description: xviii, 280 p. : ill. ; 25 cmISBN: - 9780470683682
- 0470683686
- 332.4'5 22
- HG6024.A3 C563 2011
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| 332.4'564 MON Monetary integration and dollarization : | 332.4'56COP Exchange rates and international finance / | 332.4'5CAS FX options and smile risk / | 332.4'5CLA Foreign exchange option pricing : | 332.4'6 BIN Monetary policy implementation : | 332.4’6 MON Monetary policy over fifty years : | 332.4'6 WAL Monetary theory and policy / |
Includes bibliographical references (p. [265]-270) and index.
A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.
It is a practitioner's guide to the latest, cutting edge option pricing formula for foreign exchange. It contains everything a trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange.
opc 09/05/13
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