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雷达卡
By: Alexander Lipton (Merrill Lynch International, UK)
http://www.worldscientific.com/worldscibooks/10.1142/4694
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.
Contents:
- Introduction:
- Foreign Exchange Markets
- Foreign Exchange Markets
- Mathematical Preliminaries:
- Elements of Probability Theory
- Discrete-Time Stochastic Engines
- Continuous-Time Stochastic Engines
- Discrete-Time Models:
- Single-Period Markets
- Multi-Period Markets
- Continuous-Time Models:
- Stochastic Dynamics of Forex
- European Options: The Group-Theoretical Approach
- European Options, the Classical Approach
- Deviations from the Black-Scholes Paradigm I: Nonconstant Volatility
- American Options
- Path-Dependent Options I: Barrier Options
- Path-Dependent Options II: Lookback, Asian and other Options
- Deviations from the Black-Scholes Paradigm II: Market Frictions
- Future Directions of Research and Conclusions
Foreign Exchange Option Pricing: A Practitioners Guide
by Iain J. Clark
http://www.wiley.com/WileyCDA/WileyTitle/productCd-0470683686.html#see-less-desc
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.
FX Options and Smile Risk with CD Files
by Antonio Castagna
http://www.wiley.com/WileyCDA/WileyTitle/productCd-0470754192.html
DescriptionThe 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.
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