Research Catalog

Details

Additional authors

1. DeRosa, David F.

Description

1. xii, 387 pages : illustrations; 24 cm.

Summary

1. This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading.
2. The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options. Asian options, and various sorts of quanto options.

Series statement

1. Wiley series in financial engineering

Uniform title

1. Wiley series in financial engineering.

Subject

1. Hedging (Finance)
2. Exotic options (Finance)
3. Foreign exchange futures
4. Foreign exchange market

Contents

1. Introduction: Foreign Exchange and Its Related Derivative Instruments / David F. DeRosa -- Pt. 1. Forwards and Futures Contracts on Foreign Exchange. Ch. 1. The Relation between Forward Prices and Futures Prices / John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross. Ch. 2. Forward and Futures Contracts on Foreign Exchange / David F. DeRosa. Ch. 3. Forward and Futures Prices: Evidence from the Foreign Exchange Markets / Bradford Cornell and Marc R. Reinganum -- Pt. 2. Currency Option Pricing Models. Ch. 4. Foreign Currency Option Values / Mark B. Garman and Steven W. Kohlhagen. Ch. 5. Valuing Foreign Exchange Rate Derivatives with a Bounded Exchange Process / Jonathan E. Ingersoll, Jr. Ch. 6. Efficient Analytic Approximation of American Option Values / Giovanni Barone-Adesi and Robert E. Whaley. Ch. 7. A Simple Technique for the Valuation and Hedging of American Options / T. S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam --
2. Pt. 3. Currency Futures Options Pricing Models. Ch. 8. The Pricing of Commodity Contracts / Fischer Black. Ch. 9. On Valuing American Futures Options / Robert E. Whaley -- Pt. 4. Implied Volatility in Currency Derivatives. Ch. 10. The Magnitude of Implied Volatility Smiles: Theory and Empirical Evidence for Exchange Rates / Stephen J. Taylor and Xinzhong Xu. Ch. 11. The Term Structure of Volatility Implied by Foreign Exchange Options / Xinzhong Xu and Stephen J. Taylor -- Pt. 5. Jump Process and Stochastic Volatility Models for Currency Derivatives. Ch. 12. Dollar Jump Fears, 1984-1992: Distributional Abnormalities Implicit in Currency Futures Options / David S. Bates. Ch. 13. On Jump Processes in the Foreign Exchange and Stock Markets / Philippe Jorion. Ch. 14. Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model / Marc Chesney and Louis Scott -- Pt. 6. Barrier, Binary, and Average Currency Options.
3. Ch. 15. On Pricing Barrier Options / Peter Ritchken. Ch. 16. Pricing and Hedging Double-Barrier Options: A Probabilistic Approach / Helyette Geman and Marc Yor. Ch. 17. One-Touch Double Barrier Binary Option Values / Cho H. Hui. Ch. 18. Pricing European Average Rate Currency Options / Edmond Levy -- Pt. 7. Quantos Options and Equity Warrants with Special Currency Features. Ch. 19. Understanding Guaranteed Exchange-Rate Contracts in Foreign Stock Investments / Emanuel Derman, Piotr Karasinski and Jeffrey S. Wecker. Ch. 20. The Perfect Hedge: To Quanto or Not to Quanto / Christopher D. Piros. Ch. 21. Pricing Foreign Index Contingent Claims: An Application to Nikkei Index Warrants / Ajay Dravid, Matthew Richardson and Ton-sheng Sun.

Owning institution

1. Columbia University Libraries

Note

1. Collection of scientific articles.

Bibliography (note)

1. Includes bibliographical references and index.