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FX barrier options : a comprehensive guide for industry quants /
This book is a quantitative quide to barrier options in FX environments.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Houndmills, Basingstoke, Hampshire :
Palgrave Macmillan,
2015.
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| Colección: | Applied quantitative finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Preface; Foreword; Glossary of Mathematical Notation; Contract Types; 1 Meet the Products; 1.1 Spot 1.1.1 Dollars per euro or euros per dollar?; 1.1.2 Big figures and small figures; 1.1.3 The value of Foreign; 1.1.4 Converting between Domestic and Foreign; 1.2 Forwards; 1.2.1 The FX forward market; 1.2.2 A formula for the forward rate; 1.2.3 Payoff a forward contract; 1.2.4 Valuation of a forward contract; 1.3 Vanilla options 1.3.1 Put-Call Parity; 1.4 Barrier-contingent vanilla options; 1.5 Barrier-contingent payments; 1.6 Rebates; 1.7 Knock-in-knock-out (KIKO) options; 1.8 Types of barriers; 1.9 Structured products; 1.10 Specifying the contract; 1.11 Quantitative truisms; 1.11.1 Foreign exchange symmetry and inversion; 1.11.2 Knock-out plus knock-in equals no-barrier contract; 1.11.3 Put-call parity; 1.12 Jargon-buster; 2 Living in a Black-Scholes World; 2.1 The
- ; 2.10 Discrete barrier options; 2.11 Window barrier options; 2.12 Black-Scholes numerical valuation methods; 3 Black-Scholes Risk Management; 3.1 Spot risk; 3.1.1 Local spot risk analysis; 3.1.2 Delta; 3.1.3 Gamma; 3.1.4 Results for spot Greeks; 3.1.5 Non-local spot risk analysis; 3.2 Volatility risk; 3.2.1 Local volatility risk analysis; 3.2.2 Non-local volatility risk; 3.3 Interest rate risk; 3.4 Theta; 3.5 Barrier over-hedging; 3.6 Co-Greeks; 4 Smile Pricing; 4.1 The shortcomings of the Black-Scholes model; 4.2 Black-Scholes with term structure (BSTS); 4.3 The implied volatility surface; 4.4 The FX vanilla option market; 4.4.1 At-the-money volatility; 4.4.2 Risk reversal; 4.4.3 Buttery; 4.4.4 The role of the Black-Scholes model in the FX vanilla options market; 4.5 Theoretical Value (TV); 4.5.1 Conventions for extracting market data for TV calculations; 4.5.2 Example broker
- Quote request; 4.6 Modelling market implied volatilities; 4.7 The probability density function; 4.8 Three things we want from a model; 4.9 The local volatility (LV) model; 4.9.1 It's the smile dynamics,
- Stupid; 4.10 Five things we want from a model; 4.11 Stochastic volatility (SV) models; 4.11.1 SABR model; 4.11.2 Heston model; 4.12 Mixed local/stochastic volatility (lsv) models; 4.12.1 Term structure of volatility of volatility; 4.13 Other models and methods; 4.13.1 Uncertain Volatility (UV) models; 4.13.2 Jump-diffusion models; 4.13.3 Vanna-volga methods; 5 Smile Risk Management; 5.1 Black-Scholes with term structure; 5.2 Local volatility model; 5.3 Spot risk under smile models; 5.4 Theta risk under smile models; 5.5 Mixed local/stochastic volatility models; 5.6 Static hedging; 5.7 Managing risk across businesses; 6 Numerical Methods; 6.1 Finite-difference (FD) methods; 6.1.1 Grid geometry; 6.1.2 Finite-difference schemes; 6.2 Monte Carlo (MC) methods; 6.2.1 Monte Carlo schedules; 6.2.2 Monte Carlo algorithms; 6.2.3 Variance reduction; 6.2.4 The Brownian Bridge; 6.2.5 Early
- Termination; 6.3 Calculating Greeks; 6.3.1 Bumped Greeks; 6.3.2 Greeks from finite-difference calculations; 6.3.3 Greeks from Monte Carlo; 7 Further Topics; 7.1 Managed currencies; 7.2 Stochastic interest rates (SIR); 7.3 Real-world pricing; 7.3.1 Bid-offer spreads; 7.3.2 Rules-based pricing methods; 7.4 Regulation and market abuse; A Derivation of the Black-Scholes Pricing Equations for Vanilla Options; B Normal and lognormal probability distributions; B.1 Normal distribution; B.2 Lognormal distribution; C Derivation of the local volatility function; C.1 Derivation in terms of call prices; C.2 Local volatility from implied volatility; C.3 Working in moneyness space; C.4 Working in log space; C.5 Specialization to BSTS; D Calibration of mixed local/stochastic volatility (LSV) models; E Derivation of Fokker-Planck equation for the local volatility model