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FX Options and Structured Products.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
John Wiley & Sons, Incorporated,
2015.
|
| Edición: | 2nd ed. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover ; Title Page ; Copyright ; Contents ; List of Tables; List of Figures; Preface; About the Author; Acknowledgments; Chapter 1: Foreign Exchange Derivatives ; 1.1 Literature Review ; 1.2 A Journey through the History of Options ; 1.3 Currency Options ; 1.4 Technical Issues for Vanilla Options.
- 1.4.1 Valuation in the Black-Scholes Model 1.4.2 A Note on the Forward ; 1.4.3 Vanilla Greeks in the Black-Scholes Model ; 1.4.4 Reoccurring Identities ; 1.4.5 Homogeneity based Relationships ; 1.4.6 Quotation Conventions ; 1.4.7 Strike in Terms of Delta.
- 1.4.8 Volatility in Terms of Delta 1.4.9 Volatility and Delta for a Given Strike ; 1.4.10 Greeks in Terms of Deltas ; 1.4.11 Settlement ; 1.4.12 Exercises ; 1.5 Volatility ; 1.5.1 Historic Volatility ; 1.5.2 Historic Correlation ; 1.5.3 Volatility Smile.
- 1.5.4 At-The-Money Volatility Interpolation 1.5.5 Volatility Smile Conventions ; 1.5.6 At-The-Money Definition ; 1.5.7 Interpolation of the Volatility on Fixed Maturity Pillars ; 1.5.8 Interpolation of the Volatility Spread between Maturity Pillars ; 1.5.9 Volatility Sources.
- 1.5.10 Volatility Cones 1.5.11 Stochastic Volatility ; 1.5.12 Exercises ; 1.6 Basic Strategies Containing Vanilla Options ; 1.6.1 Call and Put Spread ; 1.6.2 Risk Reversal ; 1.6.3 Straddle ; 1.6.4 Strangle ; 1.6.5 Butterfly ; 1.6.6 Condor ; 1.6.7 Seagull ; 1.6.8 Calendar Spread.