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FOREIGN EXCHANGE OPTION PRICING: A
PRACTITIONER'S GUIDE BY IAIN J. CLARK PDF
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:
Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange
options in the context of the real financial marketplace.
good details about models and practical mention of the LSV model -
entire section on practical aspects of the numerical methods
Really like the comparison with Heat equation.
Barrier options have been treated very well. I was able to do a comparative analysis of different skew based
models - LV, SV LSV through Moustache graphs for OneTouch and DNTs.
Since Iain was heading desk activities, I would have really liked for him to also cover a few more things like:
- practical aspects of curve building given FX market is so convoluted with conventions - which ccys use
LIBOR/OIS curve and which ones use FX Forward implied curves
- How is the model used practically for hedging activities - a little more intuition besides the math
- FX Volatility products in the light of FX models - calibrating SV model parameters to variance swaps.
overall a great book and definitely recommend reading it for desk activities
-d
Thoughtful, clear and rigorous, this book offers an in depth, unified treatment of fx options pricing. It will be
a great reference for a quant and also potential traders. Not only does ian bridge the gap about volatility
surface, but how one applies these models to the fx. I would recommend having read a prior book in
stochastic calculus prior to coming to this book....Although you don't really need an indepth knowledge
about stochastic calculus prior to reading this book. Say, a book by ubbo wiersema brownian motion calculus
should do the trick or perhaps even shreve (i've read ubbo's book completely and have only read about 7-8
chapters in shreve).
apart from that...a course in numerical linear algebra would also help. although most of the numerical stuff in
this book is very self-contained. in short...buy it...The mathematical tootls you will learn from this book can
very well be applied in other areas of options pricing.
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Are you truly a follower of this Foreign Exchange Option Pricing: A Practitioner's Guide By Iain J. Clark If
that's so, why don't you take this book currently? Be the first person that such as and also lead this
publication Foreign Exchange Option Pricing: A Practitioner's Guide By Iain J. Clark, so you could get the
reason and messages from this publication. Never mind to be puzzled where to obtain it. As the other, we
discuss the connect to see and also download the soft documents ebook Foreign Exchange Option Pricing: A
Practitioner's Guide By Iain J. Clark So, you might not bring the printed publication Foreign Exchange
Option Pricing: A Practitioner's Guide By Iain J. Clark anywhere.