售价: ¥912.00 待定配送费
前翻 后翻
正在播放... 已暂停   您正在聆听的 Audible 音频版本的样品。
了解更多信息
查看全部 3 张图片

Foreign Exchange Option Pricing: A Practitioners Guide (英语) 精装 – 2011年2月1日

平均4.0 星 1 条商品评论
| 天天低价·正品质优
|
分享
广告

显示所有 格式和版本 隐藏其他格式和版本
亚马逊价格
全新品最低价 非全新品最低价
精装
"请重试"
¥912.00
¥912.00
 

click to open popover

无需Kindle设备,下载免费Kindle阅读软件,即可在您的手机、电脑及平板电脑上畅享阅读。

  • iPhone/iPad/Mac
  • Android手机或平板电脑

请输入您的手机号码,获取Kindle阅读软件的下载链接。



基本信息

  • 出版社: JOHN WILEY & SONS INC; 1 (2011年2月1日)
  • 丛书名: The Wiley Finance Series
  • 精装: 304页
  • 语种: 英语
  • ISBN: 0470683686
  • 条形码: 9780470683682
  • 商品尺寸: 17.5 x 2.3 x 25.1 cm
  • 商品重量: 676 g
  • ASIN: 0470683686
  • 用户评分: 平均4.0 星 1 条商品评论
  • 亚马逊热销商品排名: 图书商品里排第1,309,666名 (查看图书商品销售排行榜)
  • 您想告诉我们您发现了更低的价格?

商品描述

作者简介

Dr Iain J. Clark, (London, UK), is Head of Foreign Exchange Quantitative Analysis at Dresdner Kleinwort in London, where he set up and runs the team responsible for developing pricing libraries for the front office. Previously, he was Director of the Quantitative Research Group in Lehman Brothers, Fixed Income Quantitative Analyst at BNP Paribas and has also worked in FX Commodities Derivatives research at JP Morgan. He holds an MSc in Mathematics from the University of Edinburgh, and a PhD in Applied Mathematics from the University of Queensland, Australia. Dr Clark is a regular speaker at key finance events, and has presented at London Imperial College, The Bachelier Society Annual Conference, London Imperial College, world business Strategies annual Conference, Risk events, Marcus Evans events and many more.

目录

Acknowledgements.

List of Tables.

List of Figures.

1 Introduction.

1.1 A Gentle Introduction to FX Markets.

1.2 Quotation Styles.

1.3 Risk Considerations.

1.4 Spot Settlement Rules.

1.5 Expiry and Delivery Rules.

1.6 Cutoff Times.

2 Mathematical Preliminaries.

2.1 The Black–Scholes Model.

2.2 Risk Neutrality.

2.3 Derivation of the Black–Scholes equation.

2.4 Integrating the SDE for ST.

2.5 Black–Scholes PDEs Expressed in Logspot.

2.6 Feynman–Kac and Risk-Neutral Expectation.

2.7 Risk Neutrality and the Presumption of Drift.

2.8 Valuation of European Options.

2.9 The Law of One Price.

2.10 The Black–Scholes Term Structure Model.

2.11 Breeden–Litzenberger Analysis.

2.12 European Digitals.

2.13 Settlement Adjustments.

2.14 Delayed Delivery Adjustments.

2.15 Pricing using Fourier Methods.

2.16 Leptokurtosis – More than Fat Tails.

3 Deltas and Market Conventions.

3.1 Quote Style Conversions.

3.2 The Law of Many Deltas.

3.3 FX Delta Conventions.

3.4 Market Volatility Surfaces.

3.5 At-the-Money.

3.6 Market Strangle.

3.7 Smile Strangle and Risk Reversal.

3.8 Visualisation of Strangles.

3.9 Smile Interpolation – Polynomial in Delta.

3.10 Smile Interpolation – SABR.

3.11 Concluding Remarks.

4 Volatility Surface Construction.

4.1 Volatility Backbone – Flat Forward Interpolation.

4.2 Volatility Surface Temporal Interpolation.

4.3 Volatility Surface Temporal Interpolation – Holidays and Weekends.

4.4 Volatility Surface Temporal Interpolation – Intraday Effects.

5 Local Volatility and Implied Volatility.

5.1 Introduction.

5.2 The Fokker–Planck Equation.

5.3 Dupire's Construction of Local Volatility.

5.4 Implied Volatility and Relationship to Local Volatility.

5.5 Local Volatility as Conditional Expectation.

5.6 Local Volatility for FX Markets.

5.7 Diffusion and PDE for Local Volatility.

5.8 The CEV Model.

6 Stochastic Volatility.

6.1 Introduction.

6.2 Uncertain Volatility.

6.3 Stochastic Volatility Models.

6.4 Uncorrelated Stochastic Volatility.

6.5 Stochastic Volatility Correlated with Spot.

6.6 The Fokker–Planck PDE Approach.

6.7 The Feynman–Kac PDE Approach.

6.8 Local Stochastic Volatility (LSV) Models.

7 Numerical Methods for Pricing and Calibration.

7.1 One-Dimensional Root Finding – Implied Volatility Calculation.

7.2 Nonlinear Least Squares Minimisation.

7.3 Monte Carlo Simulation.

7.4 Convection–Diffusion PDEs in Finance.

7.5 Numerical Methods for PDEs.

7.6 Explicit Finite Difference Scheme.

7.7 Explicit Finite Difference on Nonuniform Meshes.

7.8 Implicit Finite Difference Scheme.

7.9 The Crank–Nicolson Scheme.

7.10 Numerical Schemes for Multidimensional PDEs.

7.11 Practical Nonuniform Grid Generation Schemes.

7.12 Further Reading.

8 First Generation Exotics – Binary and Barrier Options.

8.1 The Reflection Principle.

8.2 European Barriers and Binaries.

8.3 Continuously Monitored Binaries and Barriers.

8.4 Double Barrier Products.

8.5 Sensitivity to Local and Stochastic Volatility.

8.6 Barrier Bending.

8.7 Value Monitoring.

9 Second Generation Exotics.

9.1 Chooser Options.

9.2 Range Accrual Options.

9.3 Forward Start Options.

9.4 Lookback Options.

9.5 Asian Options.

9.6 Target Redemption Notes.

9.7 Volatility and Variance Swaps.

10 Multicurrency Options.

10.1 Correlations, Triangulation and Absence of Arbitrage.

10.2 Exchange Options.

10.3 Quantos.

10.4 Best-ofs and Worst-ofs.

10.5 Basket Options.

10.6 Numerical Methods.

10.7 A Note on Multicurrency Greeks.

10.8 Quantoing Untradeable Factors.

10.9 Further Reading.

11 Longdated FX.

11.1 Currency Swaps.

11.2 Basis Risk.

11.3 Forward Measure.

11.4 LIBOR in Arrears.

11.5 Typical Longdated FX Products.

11.6 The Three-Factor Model.

11.7 Interest Rate Calibration of the Three-Factor Model.

11.8 Spot FX Calibration of the Three-Factor Model.

11.9 Conclusion.

References.

Further Reading.

Index.


买家评论

4.0 颗星,最多 5 颗星
5 星
0
4 星
1
3 星
0
2 星
0
1 星
0
与其他买家分享您的想法
查看全部 1 条商品评论

热门买家评论

于 2011年7月8日
版本: 精装|已确认购买
0回应|这条评论对您有用吗?报告滥用情况

此商品在美国亚马逊上最有用的商品评论

美国亚马逊: 5.0 颗星,最多 5 颗星 6 条评论
16 个人发现此评论有用.
5.0 颗星,最多 5 颗星A real practioner's book
于 2011年4月13日 - 已在美国亚马逊上发表
版本: 精装|已确认购买
4 个人发现此评论有用.
5.0 颗星,最多 5 颗星One of the best quant books around
于 2013年11月29日 - 已在美国亚马逊上发表
版本: 精装|已确认购买
2 个人发现此评论有用.
5.0 颗星,最多 5 颗星A must read book for anyone interested in FX Option trading.
于 2013年2月12日 - 已在美国亚马逊上发表
版本: 精装|已确认购买
5.0 颗星,最多 5 颗星Five Stars
于 2014年11月8日 - 已在美国亚马逊上发表
版本: 精装|已确认购买
4 个人发现此评论有用.
5.0 颗星,最多 5 颗星Relevant and insightful for modelling FX options
于 2013年4月6日 - 已在美国亚马逊上发表
版本: 精装