FX Barrier Options: A Comprehensive Guide for Industry Quants 1137462744, 9781137462749
This book is a quantitative quide to barrier options in FX environments.
192 58 27KB
English Pages xxx+244 [275] Year 2016
Table of contents :
Front Matter....Pages i-xxix
Meet the Products....Pages 1-32
Living in a Black-Scholes World....Pages 33-81
Black-Scholes Risk Management....Pages 82-120
Smile Pricing....Pages 121-174
Smile Risk Management....Pages 175-185
Numerical Methods....Pages 186-204
Further Topics....Pages 205-214
Back Matter....Pages 215-244
Front Matter....Pages i-xxix
Meet the Products....Pages 1-32
Living in a Black-Scholes World....Pages 33-81
Black-Scholes Risk Management....Pages 82-120
Smile Pricing....Pages 121-174
Smile Risk Management....Pages 175-185
Numerical Methods....Pages 186-204
Further Topics....Pages 205-214
Back Matter....Pages 215-244
