PDF, ePub, Mobi Total Read: There has been an explosive growth in the number of corporates, investors and financial institutions turning to structured products to achieve cost savings, risk controls and yield enhancements.
However, the exact nature, risks and applications of these products and solutions can be complex, and problems arise if the fundamental building blocks and principles are options fully understood. This book explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in a literate yet accessible manner, giving practical applications and case studies. A special emphasis on how the client uses the products, with interviews and descriptions of real-life deals means that it will be possible to see how the products are applied in day-to-day situations — the theory is translated into practice.
An academic, yet practical approach to the latest FX market developments FX Options and Structured Products provides new insights into the FX Structured market post-crisis, straddling the realms of both academics and practitioners. Products are explained in a simple case study format, with clear examples of all FX options, common structures, and tailor-made solutions. This new second edition contains updated real-world deals complete with explanatory background information, plus new information on yield curve construction, spreading, litigation, and new products and trade ideas.
Interviews have been extended to provide additional in-depth information, and new coverage on the latest trading technology guides readers toward cutting edge tools and services. Foreign Exchange Options and Structured Products are typically traded over the counter, and market participants need to fully understand the products to work with them effectively. FX Options and Structured Products is a complete reference, helping practitioners understand the products, how they're used, and how they're priced, and the risk management, hedging, regulatory, and accounting issues involved.
Understand spreads in the interest rate market, and how they affect valuation of FX options Learn why yield curve construction is a crucial ingredient for pricing, and examine the vanna-volga approach Explore recent advances in software for trading and platform structuring Review the various products including accumulators, kikos, auto-callables, and more This authoritative reference also provides expert guidance toward practical application, helping readers structure their own solutions with new ideas and understanding.
Knowing how and why particular products are applied in different situations helps practitioners build alternative solutions to client problems. For complete mastery of the FX market, FX Options and Structured Products is a valuable resource and a thorough guide. Palgrave Macmillan Format Available: Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry.
They are traded heavily as stand-alone contracts in the Foreign Exchange FX options market, their trading volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave.
FX Barrier Options takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions.
It presents and explains concepts in a highly intuitive manner throughout, to allow quantitatively minded traders, structurers, marketers, salespeople and software engineers to acquire a more rigorous analytical understanding of these products. The book derives, demonstrates and analyses a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation models and risk-management methods.
Discussions focus on the practical realities of the market and demonstrate the behaviour of models based on real and recent market data across a range of currency pairs. It furthermore offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon.
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 comprehensive coverage of implementation, pricing and calibration.
With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options structured desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models — an area often neglected in the literature, which is nevertheless of paramount importance in practice.
Thorough treatment is given in one unified text to the following features: Table of Contents Mathematical Preliminaries Deltas and Market Conventions Volatility Surface Construction Local Volatility and Implied Volatility Stochastic Volatility Numerical Methods for Pricing and Calibration First Generation Exotics — Binary and Barrier Options Second Generation Exotics Multicurrency Options Long-dated FX Options.
Praise for Foreign Exchange "Tim Weithers starts by telling the reader that foreign exchange is not difficult, just confusing, but Foreign Exchange: A Practical Guide to the FX Markets proves that money is much more exciting than anything it buys. This useful book is a whirlwind tour of the world's largest market, and the tour guide is an expert storyteller, inserting numerous fascinating insights and quirky facts throughout the book.
Taylor, Chairman, CEO and CIO, FX Concepts "The book reflects the author's doctorate from the University of Chicago, several years' experience as an economics professor, and, most recently, a very successful decade as an executive at a huge international bank.
These fundamental ingredients are seasoned with bits of wisdom and experience. What results is a very tasty intellectual stew. Foreign Exchange is full of jargon and conventions that make it very hard for non-professionals to gain a good understanding. Weither's book is a must for any student or professional who wants to learn the secrets of FX. Nygaard, Director of Financial Mathematics, The University of Chicago "An excellent text for students and practitioners who want to become acquainted with the arcane world of the foreign exchange market.
While primarily intended for practitioners, the book would be a valuable introduction for students with some knowledge of economics. The text structured exceptionally clear with numeric examples and exercises that reinforce concepts. Frequent references are made to the economic theory behind the trading practices. O'Connell, Professor of Economics, College of the Holy Cross. Exotic options and structured products are two of the most popular financial products over the past ten years and will soon become very important to the emerging markets, especially China.
This book first discusses the products' recent development in the world and provides comprehensive overview of the major products. The book also discusses the risks of issuing and buying such products as well as the techniques to price them and to assess the risks. Volatility is the most important factor in determining the return and risk.
Therefore, significant part of the book's content discusses how we can measure the volatility by using local and stochastic volatility models — Heston Model and Dupire Model, the volatility surface, the term structure of volatility, variance swaps, and breakeven volatility. Structured book introduces a set of dimensions which can be used to describe structured products to help readers to classify them.
It also describes the more commonly traded exotic options with details. The book discusses key features of each exotic option which can be used to develop structured products and covers their pricing models and when to issue such products that contain such exotic options. This book contains several case studies about how to use the models or techniques to price and hedge risks. These case analyses are illuminating. The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives.
With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond.
Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible.
Adoptions products real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant options of the business.
The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets.
Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set.
The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader.
This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures.
Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment.
The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity.
The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with.
Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading.
Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing products hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert products on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code.
Currency Derivatives is a compendium of the 20 best articles on currency derivatives, pricing theory, and hedging applications, and is simply a must-read for anyone dealing in the foreign exchange marketplace. Edited by David DeRosa, a leading foreign exchange trader and analyst, the book includes the best research from the top minds in the business. Ramin Charles Nakisa Languange: Chesham Bois Publishing Format Available: This is an applied book, using the bare minimum of mathematics to give a good understanding of finance.
It is ideal for people just starting out in their financial career or those who have some financial experience who want to broaden and refresh their knowledge. A bestiary was a medieval book containing pictures and descriptions of mythical beasts each with its own moral tale to edify the reader. This is a bestiary products finance, and as such starts with a picture book of jobs and traded instruments in finance.
Then the "Foundations" section sets out the broad picture of who does what and why in financial markets. Finally there are detailed chapters on financial instruments grouped into sections on "Fixed Income," "Credit," and "Forwards, Futures and Options. Packt Publishing Ltd Format Available: The book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice.
If you are a quantitative analyst, risk manager, actuary, or a professional working in the field of quantitative finance and want a quick hands-on introduction to the pricing of financial derivatives, this book is ideal for you. You should also be acquainted with calculus of undergraduate level.
This book will provide a thorough introduction to the foreign exchange markets, looking at the main products through to the techniques used, coverage of the main participants, details of the various players, and an understanding of the jargon used in everyday dealings.
Written in a concise and accessible manner, it will be an ideal introduction for anyone looking to become involved in the FX markets, from dealing rooms or sales perspectives, to novice investors. The new edition has been updated to reflect the changes that have taken place in the industry over the past few years.
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