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Robust Hedging Of Fx Barrier Options
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Book Synopsis Robust Static Super-Replication of Barrier Options by : Jan H. Maruhn
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 2009-07-14 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.
Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb
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.
Book Synopsis FX Barrier Options by : Zareer Dadachanji
Download or read book FX Barrier Options written by Zareer Dadachanji and published by Palgrave Macmillan. This book was released on 2015-09-29 with total page 0 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.
Book Synopsis FX Options and Structured Products by : Uwe Wystup
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.
Book Synopsis FX Options and Smile Risk by : Antonio Castagna
Download or read book FX Options and Smile Risk written by Antonio Castagna and published by John Wiley & Sons. This book was released on 2010-02-12 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Coverage includes: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
Book Synopsis Finance at Fields by : Matheus R. Grasselli
Download or read book Finance at Fields written by Matheus R. Grasselli and published by World Scientific. This book was released on 2013 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume in very broad, including papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.
Book Synopsis Hedging Derivatives by : Thorsten Rheinlander
Download or read book Hedging Derivatives written by Thorsten Rheinlander and published by World Scientific. This book was released on 2011 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L(r)vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field."
Book Synopsis FX Barrier Options by : Zareer Dadachanji
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 360 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.
Download or read book Derivatives written by Espen Gaarder Haug and published by John Wiley & Sons. This book was released on 2013-10-18 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book. The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include: Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration Nassim Taleb on Black Swans Stephen Ross on Arbitrage Pricing Theory Emanuel Derman the Wall Street Quant Edward Thorp on Gambling and Trading Peter Carr the Wall Street Wizard of Option Symmetry and Volatility Aaron Brown on Gambling, Poker and Trading David Bates on Crash and Jumps Andrei Khrennikov on Negative Probabilities Elie Ayache on Option Trading and Modeling Peter Jaeckel on Monte Carlo Simulation Alan Lewis on Stochastic Volatility and Jumps Paul Wilmott on Paul Wilmott Knut Aase on Catastrophes and Financial Economics Eduardo Schwartz the Yoga Master of Quantitative Finance Bruno Dupire on Local and Stochastic Volatility Models
Book Synopsis Exotic Options and Hybrids by : Mohamed Bouzoubaa
Download or read book Exotic Options and Hybrids written by Mohamed Bouzoubaa and published by John Wiley & Sons. This book was released on 2010-05-17 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. 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 of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects 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. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
Book Synopsis FX Derivatives Trader School by : Giles Jewitt
Download or read book FX Derivatives Trader School written by Giles Jewitt and published by John Wiley & Sons. This book was released on 2015-06-29 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to real-world derivatives trading FX Derivatives Trader School is the definitive guide to the technical and practical knowledge required for successful foreign exchange derivatives trading. Accessible in style and comprehensive in coverage, the book guides the reader through both basic and advanced derivative pricing and risk management topics. The basics of financial markets and trading are covered, plus practical derivatives mathematics is introduced with reference to real-world trading and risk management. Derivative contracts are covered in detail from a trader's perspective using risk profiles and pricing under different derivative models. Analysis is approached generically to enable new products to be understood by breaking the risk into fundamental building blocks. To assist with learning, the book also contains Excel practicals which will deepen understanding and help build useful skills. The book covers of a wide variety of topics, including: Derivative exposures within risk management Volatility surface construction Implied volatility and correlation risk Practical tips for students on trading internships and junior traders Market analysis techniques FX derivatives trading requires mathematical aptitude, risk management skill, and the ability to work quickly and accurately under pressure. There is a tremendous gap between option pricing formulas and the knowledge required to be a successful derivatives trader. FX Derivatives Trader School is unique in bridging that gap.
Book Synopsis FX Options and Structured Products by : Uwe Wystup
Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2017-08-28 with total page 472 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.
Book Synopsis Stochastic Drawdowns by : Hongzhong Zhang
Download or read book Stochastic Drawdowns written by Hongzhong Zhang and published by World Scientific. This book was released on 2018-05-07 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Drawdowns consists of some recent advances on Dr Hongzhong Zhang's own quantitative research of the well-known risk measures, drawdowns and maximum drawdowns. In this book, the author provides an extensive probabilistic study of different aspects of drawdown risks, which include the drawdown risk in finite time-horizons, the speed of market crashes (drawdowns), the frequency of drawdowns, the occupation time (time in distress), and the duration of drawdowns. Leveraging the knowledge in stochastic calculus, Lévy processes and optimal stopping, these topics can be considered as problems in advanced applied stochastic processes, and insurance/financial mathematics.The book also offers a number of applications of drawdowns in financial risk management, insurance, and algorithmic trading, including schemes on hedging and synthesizing of maximum drawdown options, (cancellable) drawdown insurance contracts and their fair premium, as well as optimal trading under drawdown-type constraints such as trailing stops.It is the goal of this book to offer a comprehensive characterization of drawdown risks and a handful of applications of drawdown in practice. On the one hand, the book enables interested students and researchers to learn the state-of-art probabilistic research on drawdowns, and explore new mathematical problems that are of practical importance to the financial industry. On the other hand, the book provides financial practitioners with access to a variety of analytically tractable measurements of drawdown risks, and the insight into hedging, optimal trading and execution amid challenges of these risks.
Book Synopsis Options on Foreign Exchange by : David F. DeRosa
Download or read book Options on Foreign Exchange written by David F. DeRosa and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the world's largest financial market Foreign exchange is the world's largest financial market and continues to grow at a rapid pace. As economies intertwine and currencies fluctuate there is hardly a corporate entity that doesn't need to use options on foreign exchange to hedge risk or increase returns. Moreover, currency options, both vanilla and exotic, are part of standard toolkit of professional portfolio managers and hedge funds. Written by a practitioner with real-world experience in this field, the Third Edition of Options on Foreign Exchange opens with a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. The Black-Scholes-Merton option-pricing model as applied to currency options is also covered, along with an examination of currency futures options. Throughout the book, author David DeRosa addresses the essential elements of this discipline and prepares you for the various challenges you could face. Updates new developments in the foreign exchange markets, particularly regarding the volatility surface Includes expanded coverage of the currency crises and capital controls, electronic trading, forward contracts, exotic options, and more Employs real-world terminology so you can a firm understanding of this dynamic marketplace The only way to truly succeed in today's foreign exchange market is by becoming more familiar with currency options. The Third Edition of Options on Foreign Exchange will help you achieve this goal and put you in better position to make more profitable decisions in this arena.
Book Synopsis Mathematical Methods for Foreign Exchange by : Alexander Lipton
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.
Book Synopsis Exotic Options: A Guide To Second Generation Options (2nd Edition) by : Peter Guangping Zhang
Download or read book Exotic Options: A Guide To Second Generation Options (2nd Edition) written by Peter Guangping Zhang and published by World Scientific. This book was released on 1998-06-17 with total page 696 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.
Book Synopsis The Complete Guide to Option Pricing Formulas by : Espen Gaarder Haug
Download or read book The Complete Guide to Option Pricing Formulas written by Espen Gaarder Haug and published by Professional Finance & Investment. This book was released on 2007-01-08 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
