Foreign exchange option pricing : a practitioners guide
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester, West Sussex, U. K. :
John Wiley & Sons ,
c2011
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Table of contents only http://catdir.loc.gov/catdir/enhancements/fy1012/2010030438-d.html |
Table of Contents:
- 1. Introduction
- 2. Mathematical preliminaries
- 3. Deltas and market conventions
- 4. Volatility surface construction
- 5. Local volatility and implied volatility
- 6. Stochastic volatility
- 7. Numerical methods for pricing and calibration
- 8. First generation exotics - binary and barrier option
- 9. Second generation exotics
- 10. Multicurrency options
- 11. Longdated FX