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Author : Kacper Jurga
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (84 download)
Download or read book Pricing and static hedging of foreign exchange barrier options written by Kacper Jurga and published by . This book was released on 2012 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zareer Dadachanji
Publisher : Springer
ISBN 13 : 1137462752
Total Pages : 274 pages
Book Rating : 4.1/5 (374 download)
Download or read book FX Barrier Options written by Zareer Dadachanji and published by Springer. This book was released on 2016-04-29 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Iain J. Clark
Publisher : John Wiley & Sons
ISBN 13 : 1119978602
Total Pages : 308 pages
Book Rating : 4.1/5 (199 download)
Download or read book Foreign Exchange Option Pricing written by Iain J. Clark and published by John Wiley & Sons. This book was released on 2011-10-20 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 trading 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: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Author : Cho-Hoi Hui
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Currency Barrier Option Pricing With Mean Reversion written by Cho-Hoi Hui and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a barrier-option pricing model in which the exchange rate follows a mean-reverting lognormal process. The corresponding closed-form solutions for the barrier options with time-dependent barriers are derived. The numerical results show that barrier option values and the corresponding hedge parameters under the proposed model are different from those based on the Black-Scholes model. For an up-and-out call, the mean-reverting process keeps the exchange rate in a small range around the mean level. When the mean level is below the barrier but above the strike price, the risk of the call to be knocked out is reduced and its option value is enhanced compared with the value under the Black-Scholes model. The parameters of the mean-reverting lognormal process therefore have a material impact on the valuation of currency barrier options and their hedge parameters.
Author : Jan H. Maruhn
Publisher : Walter de Gruyter
ISBN 13 : 3110204681
Total Pages : 210 pages
Book Rating : 4.1/5 (12 download)
Download or read book Robust Static Super-replication of Barrier Options written by Jan H. Maruhn and published by Walter de Gruyter. This book was released on 2009 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.
Author :
Publisher :
ISBN 13 :
Total Pages : 272 pages
Book Rating : 4.E/5 ( download)
Download or read book Static Vs Dynamic Hedging written by and published by . This book was released on 1997 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Author : Morten Nalholm
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (122 download)
Download or read book Static Hedging of Barrier Options Under General Asset Dynamics written by Morten Nalholm and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Uwe Wystup
Publisher : John Wiley & Sons
ISBN 13 : 111847113X
Total Pages : 649 pages
Book Rating : 4.1/5 (184 download)
Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2017-06-30 with total page 649 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.
Author : Morten Nalholm
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)
Download or read book Working Papers written by Morten Nalholm and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Deogratias
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659362316
Total Pages : 124 pages
Book Rating : 4.3/5 (623 download)
Download or read book Methods for Pricing and Hedging Plain Vanilla Barrier Options written by Emmanuel Deogratias and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Black Scholes Model (1973) is used to price and hedge plain vanilla barrier options on a non dividend paying asset. Under this model, Monte Carlo Simulation, Stratified sampling, Simpson's rule, Trapezoidal rule and Antithetic variable techniques have been used to determine the value and hedging portfolio of a plain vanilla barrier option. Also stochastic dynamic programming has been developed so as to determine the price and hedging portfolio of the option. Finally the methods are compared to each other in terms of accuracy. It is found that stratified sampling technique is the best method after comparing with other methods.
Author : Guanghua Cao
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing Exotic Barrier Options with Finite Differences written by Guanghua Cao and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: A barrier option is a derivative instrument whose payoff is dependent on the path of the underlying security up to maturity. We design a pricing system using Finite Differences to investigate the properties of and price options with exotic barrier features. The system determines the payoff, delta and gamma functions of these options with accuracy and speed, and can therefore provide quality pricing and hedging parameters to the professional trading community.
Author : Iain Douglas Clayton
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (42 download)
Download or read book Pricing and Hedging Partial Barrier Options written by Iain Douglas Clayton and published by . This book was released on 1998 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antonio Castagna
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Hedging Costs of Discrete Monitoring of FX Barrier Options written by Antonio Castagna and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The effects of the discrete monitoring of barrier options is analysed. We determine the costs that a market-maker should charge when making prices for such a kind of exotic options. The costs are related to the Delta-hedging activity around the barrier level between two subsequent monitoring dates, by assuming a reasonable hedging rule followed by the trader. We explain how our result is related to an apparently similar result by Becker and Wystup (2005) and finally we present a practical application showing that the inclusion of the Delta-hedging costs has a relevant impact on the discretely monitored barrier options prices.
Author : 莊子寅
Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.:/5 (367 download)
Download or read book Optimized Static Hedging Strategy and Hedging Error Analysis for Barrier Options written by 莊子寅 and published by . This book was released on 2008 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu Tian
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing Window Barrier Options with a Hybrid Stochastic-Local Volatility Model written by Yu Tian and published by . This book was released on 2014 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present our research on pricing window barrier options under a hybrid stochastic-local volatility (SLV) model in the foreign exchange (FX) market. Due to the hybrid effect of the local volatility and stochastic volatility components of the model, the SLV model can reproduce the market implied volatility surface, and can improve the pricing accuracy for exotic options at the same time. In this paper, numerical techniques such as Monte Carlo and finite difference methods for standard exotic barrier options under the SLV model are extended to pricing window barrier options and numerical results produced by the SLV model are used to examine the performance and accuracy of the model for pricing window barrier options.
Author : Alexander Lipton
Publisher : World Scientific
ISBN 13 : 9789810246150
Total Pages : 702 pages
Book Rating : 4.2/5 (461 download)
Download or read book Mathematical Methods for Foreign Exchange written by Alexander Lipton and published by World Scientific. This book was released on 2001 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary mathematical, economic, and trading background carefully explained. In addition to the lucid treatment of the standard material, it describes many original results. The book can be used both as a text for students of financial engineering, and as a basic reference for risk managers, traders, and academics.
