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Options on Foreign Exchange (Wiley Series in Financial Engineering) [Hardcover]

David F. DeRosa
3.7 out of 5 stars  See all reviews (3 customer reviews)

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Options on Foreign Exchange Options on Foreign Exchange
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Book Description

January 18, 2000 0471316415 978-0471316411 2
Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC

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Editorial Reviews

From the Inside Flap

It is well known that foreign exchange is the world's largest financial market. What is less well known is that the market for currency options and other derivatives on foreign exchange is also massive and still growing. This book has been written for end users of currency options and newcomers to the field of foreign exchange. It employs the real-world terminology of the foreign exchange market whenever possible so that readers can make a smooth transition from the text to actual market practice. The opening chapters present a substantive discussion of the spot and forward foreign exchange market and the mechanics of trading currency options. Next, attention turns to the pervasive Black-Scholes-Merton option pricing model as applied to currency options. An examination of currency futures options follows. The final chapters are devoted to exotic currency options, with special attention given to a variety of barrier currency options. Average rate, compound, basket, and quantos currency options are also covered. Options on Foreign Exchange, Second Edition is written for traders, corporate treasurers, risk managers, and students of financial markets.

From the Back Cover

Your A to Z Guide to the World's Largest Option Market "A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders." * Adam Kreysar, Global Head FX Options Warburg Dillon Read "DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers." * Allan M. Malz, Partner The RiskMetrics Group "This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa." * Nassim Taleb, President Empirica Capital LLC

Product Details

  • Series: Wiley Series in Financial Engineering (Book 16)
  • Hardcover: 240 pages
  • Publisher: Wiley; 2 edition (January 18, 2000)
  • Language: English
  • ISBN-10: 0471316415
  • ISBN-13: 978-0471316411
  • Product Dimensions: 9.3 x 6.3 x 0.9 inches
  • Shipping Weight: 1 pounds (View shipping rates and policies)
  • Average Customer Review: 3.7 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Best Sellers Rank: #2,004,984 in Books (See Top 100 in Books)

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Customer Reviews

3.7 out of 5 stars
(3)
3.7 out of 5 stars
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Most Helpful Customer Reviews
7 of 8 people found the following review helpful
4.0 out of 5 stars Non-technical but intuitive August 18, 2001
Format:Hardcover
This book is a nice introduction to the subject. A trader would benefit from reading the text more than a financial engineer would. It may be a good idea to read the author's "Currency Derivatives," as well. People who have read any text at the level of Hull or higher are advised to move on to "Currency Derivatives" directly.
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9 of 13 people found the following review helpful
3.0 out of 5 stars Good introduction September 22, 2001
Format:Hardcover
Mr De Rosa has written a well structured
introduction into the forex option market.
The clear examples and the pleasant writing
style make it an easy read (two nights, tops!).
Starting by showing the reader an EBS
dealing screen, he explains the price setting using the Black-Scholes model.
A bit more explanation might have been
in order on how the interbank market
really works in practice (volatility runs for ATMS Straddles, market making, etc...).
The section on exchange traded options and
futures is interesting for readers unaware
of the important differences with the OTC market.
The formulas for the Greeks contain almost
no typo's thus making the book useful as
a reference for a programmer.
The section on barrier options is a bit
disappointing. The relationship between
higher order derivatives and the volatility
smile might not have been out of place
(I am referring to the celebrated "three option
method" to quickly price exotics without
having to use MC-simulation).
Also, when introducing alternatives to the
BS-model, the formulae appear as by Deus
ex Machina. Nothing is said about calibration
difficulties. And when introducing alternative
models, why not going into long term fx
options ?
All in all, I would recommend the book to
any beginning forex option trader or salesperson,
but as those people generally do not earn the
largest of salaries, it is even better if they
borrow it from their institution's library.
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4.0 out of 5 stars Great reference February 6, 2014
By Graham
Format:Hardcover|Verified Purchase
This is a great reference book but not for the beginner, but then options aren't really for the beginner anyway.
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