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Modeling Foreign Exchange Options – A Quantitative Approach U Wystup 9780470725474

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Description

* Whereas Uwe's previous book, FX Options and Structured Products, was written to help the reader understand exotic options and structures from a structuring and sales perspective, this new book, Modeling and Pricing FX Structured Products focuses on the modeling aspects, implementation issues, and looks at which model to use for which product, how the mathematics behind them works and how to code it up efficiently. * The book moves beyond using the basic Black Scholes equation to explain all of the products, pricing models and numerical techniques for implementing a pricing model. * The author guides the reader through modeling and pricing multi-currency trades, American options and long term FX options, and shows how to use stochastic volatility models, Monte Carlo techniques, finite difference techniques, the Merton 76 model, general levy processes and stochastic skew models. * In particular, the book explains the recent advanced techniques from the highlights of academic publications to the industry standards. * Includes a CD ROM which provides examples and problems to work through and code in C++, R, Visual Basic and Mathematica.

Book Information
ISBN 9780470725474
Author U Wystup
Format Hardback
Page Count 350
Imprint John Wiley & Sons Ltd
Publisher John Wiley and Sons Ltd

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