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Clark, Iain J.

Foreign exchange option pricing : a practitioner's guide / Iain J. Clark. - Chichester, West Sussex, U.K. : Wiley, 2011. - 1 online resource (xviii, 280 pages) : illustrations. - Wiley finance series . - Wiley finance series. .

Includes bibliographical references (pages 265-270) and index.

A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange-not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk c.

9781119208679 111920867X 9780470977194 0470977191

9786613239563

323956 MIL




Options (Finance)--Prices.
Stock options.
Foreign exchange rates.
Foreign exchange rates.
Options (Finance)--Prices.
Stock options.
BUSINESS & ECONOMICS--Foreign Exchange.
Foreign exchange rates.
Options (Finance)--Prices.
Stock options.


Electronic books.

HG6024.A3 / C563 2011eb

332.4/5

Khulna University of Engineering & Technology

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