Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications (Wiley Series in Financial Engineering) (Hardcover)

~ David F. DeRosa (Editor) "The foreign exchange market comprises a network of hundreds of commercial and investment banks that deal as principals in wholesale amounts of currency..." (more)
Key Phrases: random variance model, critical commodity price, foreign risky asset, New York, Quantitative Analysis, Monte Carlo (more...)

Editorial Reviews

Product Description

A groundbreaking collection on currency derivatives, including pricing theory and hedging applications.

"David DeRosa has assembled an outstanding collection of works on foreign exchange derivatives. It surely will become required reading for both students and option traders."—Mark B. Garman President, Financial Engineering Associates, Inc. Emeritus Professor, University of California, Berkeley.

"A comprehensive selection of the major references in currency option pricing."—Nassim Taleb. Senior trading advisor, Paribas Author, Dynamic Hedging: Managing Vanilla and Exotic Options.

"A useful compilation of articles on currency derivatives, going from the essential to the esoteric."—Philippe Jorion Professor of Finance, University of California, Irvine Author, Value at Risk: The New Benchmark for Controlling Market Risk.

Every investment practitioner knows of the enormous impact that the Black-Scholes option pricing model has had on investment and derivatives markets. The success of the theory in understanding options on equity, equity index, and fixed- income markets is common knowledge. Yet, comparatively few professionals are aware that the theory's greatest successes may have been in the derivatives market for foreign exchange. Perhaps this is not surprising because the foreign exchange market is a professional trading arena that is closed virtually to all but institutional participants. Nevertheless, the world's currency markets have proven to be an almost ideal testing and development ground for new derivative instruments.

This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading. As such, the contributing authors to this volume can properly claim to have been codevelopers of this new derivatives market, having worked in de facto partnership with the professional traders in the dealing rooms of London, New York, Tokyo, and Singapore.

The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options, Asian options, and various sorts of quanto options.

From the Publisher

The foreign exchange market is the largest market in the world. It dwarfs the combined markets of the New York, London, Frankfurt, and Tokyo stock exchanges, as over a trillion dollars flows through the market every week. Currency Derivatives is a compendium of the 20 best articles on currency derivatives, pricing theory, and hedging applications, and is simply a must-read for anyone dealing in the foreign exchange marketplace. Edited by David DeRosa, a leading foreign exchange trader and analyst, the book includes the best research from the top minds in the business. These are, no doubt, the articles which will be referred to again and again by the derivatives experts, thus the essential resource for newcomers and experienced market participants alike.

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Product Details

• Hardcover: 387 pages
• Publisher: Wiley (September 7, 1998)
• Language: English
• ISBN-10: 0471252670
• ISBN-13: 978-0471252672
• Product Dimensions: 9.1 x 6.1 x 1.3 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
• Amazon.com Sales Rank: #834,888 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

18 of 19 people found the following review helpful:

4.0 out of 5 stars Comprehensive, June 18, 1999

By A Customer

This book presents highly technical papers on diverse topics from variuous academics. It would be very helpful to anyone looking to understand theoretical aspects of FX derivatives. Since most papers are written by different authors, notation is not consistent. In addition, academics do not always write like Hemingway. Nevertheless, the book covers everyhting from vanillas to exotics very well.

1 of 2 people found the following review helpful:

4.0 out of 5 stars Excellent choice of papers!, August 18, 2001

By	"n-k-k" (Philadelphia, PA, USA) - See all my reviews

DeRosa has picked excellent papers. If one reads the papers in detail, the currency derivatives literature, as well as related derivatives literature, becomes very easy to understand.