Preface Foreword Glossary of Mathematical Notation Contract Types 1 Meet the Products 1.1 Spot 1.1.1 Dollars per euro or euros per dollar? 1.1.2 Big figures and small figures 1.1.3 The value of Foreign 1.1.4 Converting between Domestic and Foreign 1.2 Forwards 1.2.1 The FX forward market 1.2.2 A formula for the forward rate 1.2.3 Payoff a forward contract 1.2.4 Valuation of a forward contract 1.3 Vanilla options 1.3.1 Put-Call Parity 1.4 Barrier-contingent vanilla options 1.5 Barrier-contingent payments 1.6 ...
Read More
Preface Foreword Glossary of Mathematical Notation Contract Types 1 Meet the Products 1.1 Spot 1.1.1 Dollars per euro or euros per dollar? 1.1.2 Big figures and small figures 1.1.3 The value of Foreign 1.1.4 Converting between Domestic and Foreign 1.2 Forwards 1.2.1 The FX forward market 1.2.2 A formula for the forward rate 1.2.3 Payoff a forward contract 1.2.4 Valuation of a forward contract 1.3 Vanilla options 1.3.1 Put-Call Parity 1.4 Barrier-contingent vanilla options 1.5 Barrier-contingent payments 1.6 Rebates 1.7 Knock-in-knock-out (KIKO) options 1.8 Types of barriers 1.9 Structured products 1.10 Specifying the contract 1.11 Quantitative truisms 1.11.1 Foreign exchange symmetry and inversion 1.11.2 Knock-out plus knock-in equals no-barrier contract 1.11.3 Put-call parity 1.12 Jargon-buster 2 Living in a Black-Scholes World 2.1 The Black-Scholes model equation for spot price 2.2 The process for ln S 2.3 The Black-Scholes equation for option pricing 2.3.1 The lagless approach 2.3.2 Derivation of the Black-Scholes PDE 2.3.3 Black-Scholes model | hedging assumptions 2.3.4 Interpretation of the Black-Scholes PDE 2.4 Solving the Black-Scholes PDE 2.5 Payments 2.6 Forwards 2.7 Vanilla options 2.7.1 Transformation of the Black-Scholes PDE 2.7.2 Solution of the diffusion equation for vanilla options 2.7.3 The vanilla option pricing formulae 2.7.4 Price quotation styles 2.7.5 Valuation behaviour 2.8 Black-Scholes pricing of barrier-contingent vanilla options 2.8.1 Knock-outs 2.8.2 Knock-ins 2.8.3 Quotation methods 2.8.4 Valuation behaviour 2.9 Black-Scholes pricing of barrier-contingent payments 2.9.1 Payment in Domestic 2.9.2 Payment in Foreign 2.9.3 Quotation methods 2.9.4 Valuation behaviour 2.10 Discrete barrier options 2.11 Window barrier options 2.12 Black-Scholes numerical valuation methods 3 Black-Scholes Risk Management 3.1 Spot risk 3.1.1 Local spot risk analysis 3.1.2 Delta 3.1.3 Gamma 3.1.4 Results for spot Greeks 3.1.5 Non-local spot risk analysis 3.2 Volatility risk 3.2.1 Local volatility risk analysis 3.2.2 Non-local volatility risk 3.3 Interest rate risk 3.4 Theta 3.5 Barrier over-hedging 3.6 Co-Greeks 4 Smile Pricing 4.1 The shortcomings of the Black-Scholes model 4.2 Black-Scholes with term structure (BSTS) 4.3 The implied volatility surface 4.4 The FX vanilla option market 4.4.1 At-the-money volatility 4.4.2 Risk reversal 4.4.3 Buttery 4.4.4 The role of the Black-Scholes model in the FX vanilla options market 4.5 Theoretical Value (TV) 4.5.1 Conventions for extracting market data for TV calculations 4.5.2 Example broker quote request 4.6 Modelling market implied volatilities 4.7 The probability density function 4.8 Three things we want from a model 4.9 The local volatility (LV) model 4.9.1 It's the smile dynamics, stupid 4.10 Five things we want from a model 4.11 Stochastic volatility (SV) models 4.11.1 SABR model 4.11.2 Heston model 4.12 Mixed local/stochastic volatility (lsv) models 4.12.1 Term structure of volatility of volatility 4.13 Other models and methods 4.13.1 Uncertain Volatility (UV) models 4.13.2 Jump-diffusion models 4.13.3 Vanna-volga methods 5 Smile Risk Management 5.1 Black-Scholes with term structure 5.2 Local volatility model 5.3 Spot risk under smile models 5.4 Theta risk under smile models 5.5 Mixed local/stochastic volatility models 5.6 Static hedging 5.7 Managing risk across businesses 6 Numerical Methods 6.1 Finite-difference (FD) methods 6.1.1 Grid geometry 6.1.2 Finite-difference schemes 6.2 Monte Carlo (MC) methods 6.2.1 Monte Carlo schedules 6.2.2 Monte Carlo algorithms 6.2.3 Variance reduction 6.2.4 The Brownian Bridge 6.2.5 Early termination 6.3 Calculating Greeks 6.3.1 Bumped Greeks 6.3.2 Greeks from finite-difference calculations 6.3.3 Greeks from Monte Carlo 7 Further Topics 7.1 Managed currencies 7.2 Stochastic interest rates (SIR) 7.3 Real-world pricing 7.3.1 Bid-offer spreads
Read Less
Add this copy of Horseshoes to cart. $7.00, poor condition, Sold by Book'em rated 3.0 out of 5 stars, ships from Port Orchard, WA, UNITED STATES, published 1996 by Stackpole Books.
Choose your shipping method in Checkout. Costs may vary based on destination.
Seller's Description:
Poor. 1st edition, 1st printing. "A handbook of all the rules, strategies, tips, and techniques you need to be a better player" Ex-library book with usual stamps and stickers. 1in. x 2in. piece cut out of top of back cover. Covers have edge wear, rubbing, and some stains. Page edges have some markings. Several pages have creased corners and a couple pages have pencil markings.
