This work studies the actual financial phenomena underlying the evaluation of financial derivatives, which is today virtually identified with and even replaced by the study of the mathematical aspects of stochastic calculus as a model for such phenomena. It adopts the view that the study of financial phenomena is on the brink of a revolution similar to that of quantum physics in the 1920s. In this volume, a fundamental symmetry in a foreign exchange market that associates financially equivalent options on opposite sides of the market is introduced. This symmetry holds a general foreign exchange market environment.
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6 of 6 people found the following review helpful:
5.0 out of 5 stars
New option value relationships,
By A Customer
This review is from: Foreign Exchange Option Symmetry (Hardcover)
The main thrust of this book is the development of new and powerful symmetry relationships in the values of options in foreign exchange markets. What makes these relationships really interesting -- and useful -- is that the authors show that they are valid in all markets. For example, no assumptions are needed on the existence of probability distributions. The final symmetries are easily understood and introduced using language from physics. This stuff should be in all books on mathematical finance. Traders, financial professionals, students and academics will find this book useful.
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Inside This Book
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First Sentence:
It is well known that, due to a general no-arbitrage argument, there is a pairing for European call and put options referred to as put-call parity. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
smoothed payoffs, smoothed call, universal contingent claim, foreign exchange market environments, foreign exchange option symmetry, abstract payoffs, contract that gives the right, foreign basis, bermudan options, semilinear evolution equation, homogeneity relationships, symmetry relationships, such barrier options, foreign exchange setting, general market environment, multiplicative measure, call payoff, foreign exchange options, activated barriers, american options, put payoffs, general payoffs, foreign side, financial phenomena, resulting options Key Phrases - Capitalized Phrases (CAPs): (learn more)
Consistently Smoothed Payoffs New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
It is well known that, due to a general no-arbitrage argument, there is a pairing for European call and put options referred to as put-call parity. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
smoothed payoffs, smoothed call, universal contingent claim, foreign exchange market environments, foreign exchange option symmetry, abstract payoffs, contract that gives the right, foreign basis, bermudan options, semilinear evolution equation, homogeneity relationships, symmetry relationships, such barrier options, foreign exchange setting, general market environment, multiplicative measure, call payoff, foreign exchange options, activated barriers, american options, put payoffs, general payoffs, foreign side, financial phenomena, resulting options Key Phrases - Capitalized Phrases (CAPs): (learn more)
Consistently Smoothed Payoffs New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 8
books:
See all 8 books this book cites
4
books
cite this book:
- Australia and New Zealand (Knowing world geography) by D.C. Money in Back Matter
- Options: Theory, Strategy, and Applications by Peter Ritchken in Back Matter
- Partial Differential Equations of Parabolic Type by Avner Friedman in Back Matter
- Differential Equations, 3rd Edition by Shepley L. Ross in Back Matter
- Option Pricing: Mathematical Models and Computation by Paul Wilmott in Back Matter
See all 8 books this book cites
- Derivative Securities and Difference Methods (Springer Finance) by You-lan Zhu in Back Matter
- Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach by Alexander Lipton in Back Matter
- Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management by E. Jouini on page 103
- Real Options and Energy Management: Using Options Methodology to Enhance Capital Budgeting Decisions by Ehud I. Ronn in Back Matter
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