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Foreign Exchange Option Pricing: A Practitioners Guide Hardcover

ISBN-13: 978-0470683682 ISBN-10: 0470683686 Edition: 1st

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Product Details

  • Hardcover: 304 pages
  • Publisher: Wiley; 1 edition (January 18, 2011)
  • Language: English
  • ISBN-10: 0470683686
  • ISBN-13: 978-0470683682
  • Product Dimensions: 9.7 x 6.5 x 1 inches
  • Shipping Weight: 1.5 pounds (View shipping rates and policies)
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (4 customer reviews)
  • Amazon Best Sellers Rank: #341,967 in Books (See Top 100 in Books)

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13 of 13 people found the following review helpful By M. Carreira on April 13, 2011
Format: Hardcover Verified Purchase
I traded BRLUSD options for 5 years, and Iain's book is the only book that covers all the different aspects of trading and modelling FX options:
Different delta conventions
Market strangles, and how to fit your interpolating function to the traded strikes
Realistic interpolations for volatility surface construction
Local volatility in FX
Local Stochastic Volatility Models
Longdated FX Options
Also covered are the different issues and approaches of implementing the models, like Monte Carlo and PDEs; and a good discussion of barrier bending and exotics.
The focus is on presenting the methods and formulas, not proving theorems; even so, traders should not treat it as only a formula depository, there's real depth behind it.
Highly recommended for anyone trading or modelling FX options.
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2 of 2 people found the following review helpful By rajan S. on November 28, 2013
Format: Hardcover Verified Purchase
Although I've only managed to read about the first 4 chapters...based on my reading, I can already recommend this very highly.

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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2 of 2 people found the following review helpful By Divyesh Bakhda on April 5, 2013
Format: Hardcover
Once you start going through the book - very quickly you will realize that it is extremely practical and comes for a person who has been a significant participant of the market with many years of experience. This is important since most texts are theoretical and and less insightful

Some of the most useful topics are:
Concept of many deltas and decent treatment of ATM and Delta conventions
Correctness of FX vol surface construction in the light of 1-vol Butterfly convention
Most relevant fitting methods

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
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1 of 1 people found the following review helpful By Renoir Vieira on February 12, 2013
Format: Hardcover Verified Purchase
This book is a real masterpiece when it comes to FX Option trading. The book covers all the relevant aspects from a very gentle introduction to FX markets to the most widely used volatility models. It does so with astonishing clarity without giving up the necessary mathematical formalism. There are many books on this particular subject, but none which links academic knowledge and practicers' needs like this one. It is certainly a must read book for FX Option traders.
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