Currency Derivatives: Pricing Theory, Exotic Options, and Hedging ApplicationsISBN: 978-0-471-25267-2
Hardcover
387 pages
September 1998
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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Partial table of contents:
Foreign Exchange and Its Related Derivative Instruments (D. DeRosa).
FORWARDS AND FUTURES CONTRACTS ON FOREIGN EXCHANGE.
Forward and Futures Contracts on Foreign Exchange (D. DeRosa).
CURRENCY OPTION PRICING MODELS.
Foreign Currency Option Values (M. Garman & S. Kohlhagen).
Efficient Analytic Approximation of American Option Values (G. Barone-Adesi & R. Whaley).
CURRENCY FUTURES OPTIONS PRICING MODELS.
The Pricing of Commodity Contracts (F. Black).
On Valuing American Futures Options (R. Whaley).
IMPLIED VOLATILITY IN CURRENCY DERIVATIVES.
The Term Structure of Volatility Implied by Foreign Exchange Options (X. Xu & S. Taylor).
JUMP PROCESS AND STOCHASTIC VOLATILITY MODELS FOR CURRENCY DERIVATIVES.
On Jump Processes in the Foreign Exchange and Stock Markets (P. Jorion).
BARRIER, BINARY, AND AVERAGE CURRENCY OPTIONS.
On Pricing Barrier Options (P. Ritchken).
One-Touch Double Barrier Binary Option Values (C. Hui).
Pricing European Average Rate Currency Options (E. Levy).
QUANTOS OPTIONS AND EQUITY WARRANTS WITH SPECIAL CURRENCY FEATURES.
The Perfect Hedge: To Quanto or Not to Quanto (C. Piros).
Index.
Foreign Exchange and Its Related Derivative Instruments (D. DeRosa).
FORWARDS AND FUTURES CONTRACTS ON FOREIGN EXCHANGE.
Forward and Futures Contracts on Foreign Exchange (D. DeRosa).
CURRENCY OPTION PRICING MODELS.
Foreign Currency Option Values (M. Garman & S. Kohlhagen).
Efficient Analytic Approximation of American Option Values (G. Barone-Adesi & R. Whaley).
CURRENCY FUTURES OPTIONS PRICING MODELS.
The Pricing of Commodity Contracts (F. Black).
On Valuing American Futures Options (R. Whaley).
IMPLIED VOLATILITY IN CURRENCY DERIVATIVES.
The Term Structure of Volatility Implied by Foreign Exchange Options (X. Xu & S. Taylor).
JUMP PROCESS AND STOCHASTIC VOLATILITY MODELS FOR CURRENCY DERIVATIVES.
On Jump Processes in the Foreign Exchange and Stock Markets (P. Jorion).
BARRIER, BINARY, AND AVERAGE CURRENCY OPTIONS.
On Pricing Barrier Options (P. Ritchken).
One-Touch Double Barrier Binary Option Values (C. Hui).
Pricing European Average Rate Currency Options (E. Levy).
QUANTOS OPTIONS AND EQUITY WARRANTS WITH SPECIAL CURRENCY FEATURES.
The Perfect Hedge: To Quanto or Not to Quanto (C. Piros).
Index.
Related Titles
Financial Engineering
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