Foreign exchange option pricing : a practitioner's guide /

• Main Author: Clark, Iain J.
• Format: eBook
• Language: English
• Published: Chichester, West Sussex, U.K. : Wiley, 2011.
• Series: Wiley finance series.
• Subjects: Options (Finance) > Prices.; Stock options.; Foreign exchange rates.; BUSINESS & ECONOMICS > Foreign Exchange.; Electronic books.

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 com...

Table of Contents:

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