Foreign Exchange Option Symmetry
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Foreign Exchange Option Symmetry
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Author : Valery A. Kholodny?
language : en
Publisher: World Scientific
Release Date : 1998
Foreign Exchange Option Symmetry written by Valery A. Kholodny? and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
This book studies the actual financial phenomena underlying the evaluation of financial derivatives, which is today virtually identified with and even replaced by the study of the mathematical aspects of stochastic calculus as a model for such phenomena. It adopts the view that the study of financial phenomena is on the brink of a revolution similar to that of quantum physics in the 1920s. History has shown that virtually all the major revolutions in physics were made through recognizing the presence of an inherent symmetry in underlying phenomena. In this volume, a fundamental symmetry in a foreign exchange market that associates financially equivalent options on opposite sides of the market is introduced. This symmetry holds in a general foreign exchange market environment. In particular, it requires no assumptions to be made on the nature of a probability distribution for exchange rates -- not even on the existence of such a distribution. The practical applications of the symmetry are significant and far reaching. They range from the detection of a new type of true arbitrage and a screen for consistency of option pricing models, to the reduction of the cost of software development. The symmetry introduced is not restricted to foreign exchange markets but is also valid for any financial markets.
Foundations Of Foreign Exchange Option Symmetry
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Author : Valery A. Kholodnyĭ
language : en
Publisher: Ies Press
Release Date : 1998
Foundations Of Foreign Exchange Option Symmetry written by Valery A. Kholodnyĭ and has been published by Ies Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Derivative securities categories.
Foreign Exchange Option Symmetry And A Coordinate Free Description Of A Multiple Currency Market In Terms Of Differential Geometry On Graphs
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Author : Valery Kholodnyi
language : en
Publisher:
Release Date : 2018
Foreign Exchange Option Symmetry And A Coordinate Free Description Of A Multiple Currency Market In Terms Of Differential Geometry On Graphs written by Valery Kholodnyi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
In this article we present a framework describing the world foreign exchange market in terms of differential geometry on graphs, that is, in terms of vector lattice bundles on graphs and connections on these bundles. This framework is based on the concept of financial equivalence introduced by Kholodnyi and Price in 1996 for a two currency and a multiple currency foreign exchange markets. Such a framework allows for a coordinate-free description of financial phenomena in the world foreign exchange market and for detecting, analyzing, and utilizing fundamental symmetries and related arbitrage opportunities in this market. The framework presented in this article is not limited to foreign exchange markets and can be applied to any financial market with exchange of an arbitrary number of arbitrary underlying securities.
Fx Option Performance
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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2015-04-23
Fx Option Performance written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-23 with Business & Economics categories.
Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?
Foreign Exchange Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-18
Foreign Exchange Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-18 with Business & Economics categories.
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 characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Fx Options And Structured Products
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Author : Uwe Wystup
language : en
Publisher: John Wiley & Sons
Release Date : 2007-01-11
Fx Options And Structured Products written by Uwe Wystup and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-11 with Business & Economics categories.
There has been an explosive growth in the number of corporates,investors and financial institutions turning to structured productsto achieve cost savings, risk controls and yield enhancements.However, the exact nature, risks and applications of these productsand solutions can be complex, and problems arise if the fundamentalbuilding blocks and principles are not fully understood. This bookexplains the most popular products and strategies with a focus oneverything beyond vanilla options, dealing with these products in aliterate yet accessible manner, giving practical applications andcase studies. A special emphasis on how the client uses the products, withinterviews and descriptions of real-life deals means that it willbe possible to see how the products are applied in day-to-daysituations – the theory is translated into practice. Note: CD-ROM/DVD and other supplementary materials arenot included as part of eBook file.
Options On Foreign Exchange
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Author : David F. DeRosa
language : en
Publisher: John Wiley & Sons
Release Date : 2000-01-18
Options On Foreign Exchange written by David F. DeRosa and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-01-18 with Business & Economics categories.
Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC
Pricing Foreign Exchange Options
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Author : David W.K. Yeung
language : en
Publisher: Hong Kong University Press
Release Date : 1998-02-01
Pricing Foreign Exchange Options written by David W.K. Yeung and has been published by Hong Kong University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-02-01 with Business & Economics categories.
This book develops a new and interesting approach to the valuation of foreign exchange options. The authors synthesise international monetary theory with the Samuelson-Black-Scholes insight that assets prices follow diffusion processes, and obtain a system of stochastic differential equations to model exchange rate dynamics under the influence of purchasing power parity. An exact formula to price foreign currency options is obtained, which incorporates the influence of its purchasing power parity. The book is essential to advanced undergraduate and graduate students who wish to learn about the modern theory of foreign exchange options. Since its results are completely operational, the book will also prove to be invaluable for practitioners in the financial markets.
Foreign Exchange Options
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Author : Alan Hicks
language : en
Publisher: Elsevier
Release Date : 1998-05-29
Foreign Exchange Options written by Alan Hicks and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-05-29 with Business & Economics categories.
Since the first edition of Foreign Exchange Options in 1993, trading in foreign exchange options has undergone rapid expansion and now accounts for a daily turnover of some $100 billion world-wide. This revised and expanded second edition takes into account recent changes in both market practice and regulatory requirements and contains many new explanatory diagrams and practical examples.As with the first edition, the emphasis is on practicality, taking the reader through the basics, clarifying jargon when and where appropriate. This book will be invaluable for accountants, auditors, experienced practitioners and those entering the world of currency options for the first time. The benefits of using options to hedge foreign exchange risk Detailed examination of both the OTC market and the main exchange listing Specific coverage of pricing, trading risk and market practice
Foreign Exchange
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Author : Tim Weithers
language : en
Publisher: John Wiley & Sons
Release Date : 2011-03-10
Foreign Exchange written by Tim Weithers and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-10 with Business & Economics categories.
Praise for Foreign Exchange "Tim Weithers starts by telling the reader that foreign exchange is not difficult, just confusing, but Foreign Exchange: A Practical Guide to the FX Markets proves that money is much more exciting than anything it buys. This useful book is a whirlwind tour of the world's largest market, and the tour guide is an expert storyteller, inserting numerous fascinating insights and quirky facts throughout the book." -John R. Taylor, Chairman, CEO and CIO, FX Concepts "The book reflects the author's doctorate from the University of Chicago, several years' experience as an economics professor, and, most recently, a very successful decade as an executive at a huge international bank. These fundamental ingredients are seasoned with bits of wisdom and experience. What results is a very tasty intellectual stew." -Professor Jack Clark Francis, PhD, Professor of Economics and Finance, Bernard Baruch College "In this book, Tim Weithers clearly explains a very complicated subject. Foreign Exchange is full of jargon and conventions that make it very hard for non-professionals to gain a good understanding. Weither's book is a must for any student or professional who wants to learn the secrets of FX." -Niels O. Nygaard, Director of Financial Mathematics, The University of Chicago "An excellent text for students and practitioners who want to become acquainted with the arcane world of the foreign exchange market." -David DeRosa, PhD, founder, DeRosa Research and Trading, Inc., and Adjunct Professor of Finance, Yale School of Management "Tim Weithers provides a superb introduction to the arcana of foreign exchange markets. While primarily intended for practitioners, the book would be a valuable introduction for students with some knowledge of economics. The text is exceptionally clear with numeric examples and exercises that reinforce concepts. Frequent references are made to the economic theory behind the trading practices." -John F. O'Connell, Professor of Economics, College of the Holy Cross