Pricing Options Involving Foreign Currency and Cross-currency PDF Download
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Author: Terri Ryun Kang
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Book Description
Author: Terri Ryun Kang
Publisher:
ISBN:
Category :
Languages : en
Pages : 58
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Book Description
Author: Gary Klopfenstein
Publisher: John Wiley & Sons
ISBN: 9780471569480
Category : Business & Economics
Languages : en
Pages : 186
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Book Description
For commodity traders and portfolio managers--a practical, hands-onguide to profiting in today's growing international cross ratemarkets. Cross rates trading is growing increasingly popular,fueled in no small part by banks and multinationals seekingcreative strategies for hedging currency risk and speculatorsseeking profits from interest rate plays and exchange rate moves.Trading Currency Cross Rates is the passkey to this vastlyprofitable financial sector. Written for the experienced tradermoving into the currency futures and foreign exchange cash markets,as well as for the corporate portfolio manager seeking to limitcompany exposure, this professional guide covers the fundamentalsof today's cross rates markets and delivers the step-by-steptechniques needed to trade cross rates successfully. Packed withcharts and tables that apply over a broad range of internationalmarkets and currencies, the guide: * Explains what cross rates are and profiles the different typesthat currently are traded * Shows whether to trade on an agency or principal basis, and howto avoid counterparty failure * Covers the building blocks of currency valuation and the bestmethods for forecasting moves in currency cross rates * Reveals how to profitably trade exotic cross rates amongcurrencies from the Pacific Rim and Middle East * Explains how to cross over to the growing interbank currencymarket, and which fundamental and technical analysis techniquesspecifically apply to it * Discusses how to easily adapt any current trading system and itsinput to the profitable cash markets Featuring the expertise of a leading cross rates trading expert ina concise, direct, accessible format, Trading Currency Cross Ratesis the dependable, single-source guide to trading cross ratessuccessfully.
Author: Jin-Chuan Duan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper generalizes the GARCH option pricing methodology in Duan (1995, Mathematical Finance) to a two-country setting. Specifically, we assume a bivariate nonlinear GARCH system for the exchange rate and the foreign asset price, and generalize the local risk-neutral valuation relationship in Duan (1995). We derive the equilibrium GARCH processes for the exchange rate and the foreign asset price in the two-country economy. Foreign currency options and cross-currency options can then be valued using the well-known risk-neutral valuation technique. Our setup allows rich empirical regularities such as stochastic volatility, fat tails, and the so-called leverage effect. We also run simulations to price quanto options and find that when the true environment is GARCH a constant variance model is not reliable in most cases. The proposed equilibrium valuation framework to price foreign currency and cross-currency options is the first of its kind in the literature.
Author: Zhaohui Chen
Publisher: World Scientific
ISBN: 9814499161
Category : Business & Economics
Languages : en
Pages : 218
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Book Description
This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as exchange rate risk premium, volatility, market expectations, and credibility of exchange rate regimes. It contains applications on how to extract useful information from option market data for financial forecasting policy purposes. The subjects are discussed in a self-contained, user-friendly format, with introductory chapters on currency option theory and currency option markets.The book can be used as supplementary reading for graduate finance and international economics courses, as training material for central bank and regulatory authorities, or as a reference book for financial analysts.
Author: Raymond H. Chan
Publisher: Springer
ISBN: 9811336962
Category : Mathematics
Languages : en
Pages : 397
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Book Description
This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)
Author: Kaushik I. Amin
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 58
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Book Description
Author: David W.K. Yeung
Publisher: Hong Kong University Press
ISBN: 9622094546
Category : Business & Economics
Languages : en
Pages : 105
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Book Description
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.
Author: Kaushik Ishwar Amin
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 58
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Book Description
Author: James N. Bodurtha (jr.)
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Derosa
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 296
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Book Description
It is well known that foreign exchange is the world's largest financial market. What is less well known is that the market for currency options and other derivatives on foreign exchange is also massive and still growing. This book has been written for end users of currency options and newcomers to the field of foreign exchange. It employs the real-world terminology of the foreign exchange market whenever possible so that readers can make a smooth transition from the text to actual market practice. The opening chapters present a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. Next, attention turns to the pervasive Black-Scholes-Merton option pricing model as applied to currency options. An examination of currency futures options follows. The final chapters are devoted to exotic currency options, with special attention given to a variety of barrier currency options. Average rate, compound, basket, and quantos currency options are also covered. Options on Foreign Exchange, Second Edition is written for traders, corporate treasurers, risk managers, and students of financial markets.
