FX Options and Structured Products
Cover -- Title Page -- Copyright -- Contents -- List of Tables -- List of Figures -- Preface -- About the Author -- Acknowledgments -- Chapter 1: Foreign Exchange Derivatives -- 1.1 Literature Review -- 1.2 A Journey through the History of Options -- 1.3 Currency Options -- 1.4 Technical Issues for Vanilla Options -- 1.4.1 Valuation in the Black-Scholes Model -- 1.4.2 A Note on the Forward -- 1.4.3 Vanilla Greeks in the Black-Scholes Model -- 1.4.4 Reoccurring Identities -- 1.4.5 Homogeneity based Relationships -- 1.4.6 Quotation Conventions -- 1.4.7 Strike in Terms of Delta -- 1.4.8 Volatility in Terms of Delta -- 1.4.9 Volatility and Delta for a Given Strike -- 1.4.10 Greeks in Terms of Deltas -- 1.4.11 Settlement -- 1.4.12 Exercises -- 1.5 Volatility -- 1.5.1 Historic Volatility -- 1.5.2 Historic Correlation -- 1.5.3 Volatility Smile -- 1.5.4 At-The-Money Volatility Interpolation -- 1.5.5 Volatility Smile Conventions -- 1.5.6 At-The-Money Definition -- 1.5.7 Interpolation of the Volatility on Fixed Maturity Pillars -- 1.5.8 Interpolation of the Volatility Spread between Maturity Pillars -- 1.5.9 Volatility Sources -- 1.5.10 Volatility Cones -- 1.5.11 Stochastic Volatility -- 1.5.12 Exercises -- 1.6 Basic Strategies Containing Vanilla Options -- 1.6.1 Call and Put Spread -- 1.6.2 Risk Reversal -- 1.6.3 Straddle -- 1.6.4 Strangle -- 1.6.5 Butterfly -- 1.6.6 Condor -- 1.6.7 Seagull -- 1.6.8 Calendar Spread -- 1.6.9 Exercises -- 1.7 First Generation Exotics -- 1.7.1 Classification -- 1.7.2 European Digitals and the Windmill Effect -- 1.7.3 Barrier Options -- 1.7.4 Touch Contracts -- 1.7.5 Compound and Installment -- 1.7.6 Asian Options -- 1.7.7 Lookback Options -- 1.7.8 Forward Start, Ratchet, and Cliquet Options -- 1.7.9 Power Options -- 1.7.10 Quanto Options -- 1.7.11 Exercises
Extent: | 1 Online-Ressource (475 pages) |
---|
Series: | |
---|
Type of publication: | Book / Working Paper
|
---|
Language: | English |
---|
ISBN: | 978-1-118-47113-5 ; 978-1-118-47106-7 ; 978-1-118-47106-7 |
---|
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011839770