Book 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.
Customer Reviews:
Excellent choice of papers!.......2001-08-18
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.
Comprehensive.......1999-06-19
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.
Average customer rating:
- A must buy for those who want to understand derivatives
- Too technical with few clear examples
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Futures and Options: Theory and Applications (Current Issues in Finance Series)
Hans R. Stoll , and
Robert E. Whaley
Manufacturer: Thomson South-Western
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ASIN: 0538801158 |
Customer Reviews:
A must buy for those who want to understand derivatives.......1998-10-05
This book is truly one of the best of its kind. It introduces all the basics of futures and options that you need to know and also presents the mathematical details in a reasonable way. The text is extremely clear and easy to read and allows you to really understand the technical details of difficult subjects like option pricing. I was surprised to find step by step calculations and derivations of all necessary mathematical results. This is very essential when you want to obtain a solid understanding of derivatives. Derivatives books like that of John C. Hull are full of real world examples. This is something you won't find in this book. Nevertheless it is a great book for the beginner as well as the advanced. It is a must buy!
Too technical with few clear examples.......1998-10-01
This book contains the most of the relevant topics regarding futures, options and derivatives. However, it lacks a discussion of interest rate swaps.
The most glaring flaw of the book is its technical depth without accompanying examples that are clear and explanatory. Furthermore, the index in the back of the book is not cross-referenced well to the topics you would expect (and are contained) in the book.
I would highly suggest purchasing an alternative book on the same topic by John C. Hull, Options, Futures and Derivatives. Hull's book contains much clearer examples without losing the technical theory necessary to obtain a complete understanding of the topic.
Book Description
"Over the past two decades, the mathematically complex models of finance theory have had a direct and wide-ranging influence on finance practice. Nowhere is this conjoining of intrinsic intellectual interest with extrinsic application better exemplified than in derivative-security pricing. The backgrounds of the authors of Options, Futures and Exotic Derivatives fit perfectly this pattern of combining theory and practice and so does their book. The range and depth of subject matter show excellent taste for what is essential to know the field and what is relevant and important to its application in the financial world. In addition to its fine subject-defining, the book delivers on subject-content, with rigorous derivations presented in a clear, direct voice for the serious student, whether academic or practitioner. To the reader: Bon Appetit!" Robert C. Merton, Harvard Business School Long-Term Capital Management, L.P. "One of the merits of this book is that it is self-contained. It is both a textbook and a reference book. It covers the basics of the theory, as well as the techniques for valuation of many of the more exotic derivatives. It contains a detailed knowledge of the field. What is more, however, it is written with a deep understanding of the economics of finance." From the Foreword by Oldrich Alfons Vasicek "The authors have done an admirable job at distilling what is relevant in option research in one single volume. I wish I'd had the chance to read it before writing my own book." Nassim Taleb, veteran option arbitrageur and bestselling author of Dynamic Hedging: Managing Vanilla and Exotic Options "This is a delightful promenade in derivatives land. The book is encyclopaedic yet crisp and inspired. It is the story - told in equations - of the charms and spells of options and their underlying mathematics." Jamil Baz, Head of Financial Strategies, Lehman Brothers Europe Building steadily from the basic mathematical tools to the very latest techniques in exotic options, Options, Futures and Exotic Derivatives covers all aspects of the most innovative and rapidly developing area of international financial markets - the world of over-the-counter and tailor-made derivative asset pricing. Written by a globally renowned team of authors this book offers comprehensive coverage of exotic derivative assets and
* Deals with numerous new forms of exotic options and option pricing
* Provides detailed explanations of different models and numerical methods
* Offers a deep understanding of the economics of finance
With questions and review sections throughout, Options, Futures and Exotic Derivatives provides a thorough introduction to a crucial and expanding area in the world of finance for both finance students and practitioners.
Customer Reviews:
Simply, the options Bible !.......1999-02-10
Although this book has the usual first edition imperfections, it stands out as the best book ever written so far on options and exotic derivatives. It is comprehensive and bears superbly the comparison with the other reference in the field, namely Hull.
Average customer rating:
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Options: Theory, Strategy, and Applications
Peter Ritchken
Manufacturer: Addison-Wesley Educational Publishers
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ASIN: 0673183076 |
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Financial Futures Markets: Concepts, Evidence, and Applications
Robert T. Daigler
Manufacturer: Harpercollins College Div
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ASIN: 0065010108 |
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Uncertain Volatility Models - Theory and Application
Robert Buff
Manufacturer: Springer
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Derivatives Models on Models
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Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance)
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ASIN: 3540426574 |
Book Description
This book introduces Uncertain Volatility Models in mathematical finance and their computer implementation for portfolios of vanilla, barrier and American options in equity and FX markets. Uncertain Volatility Models place subjective constraints such as upper and lower bounds on volatility and evaluate option portfolios under worst- and best-case scenarios. This book is for graduate students, researchers and practitioners who wish to study advanced aspects of volatility risk in portfolios of vanilla and exotic options. The accompanying CD contains the source code of a C++ implementation of the algorithms presented in the book.
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The Future of Purchasing and Supply: A Five- And Ten-Year Forecast
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ASIN: 0945968345 |
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- Surprisingly Up To Date for a 2003 Publication Date
- Well balanced!
- One-Stop Solar System Shopping
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The Cambridge Guide to the Solar System
Kenneth R. Lang
Manufacturer: Cambridge University Press
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Sun, Earth and Sky
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Encyclopedia of the Solar System, Second Edition
ASIN: 0521813069 |
Book Description
The Cambridge Guide to the Solar System provides a comprehensive, funamental, and up-to-date description of the solar system. It is written in a concise, light and uniform style, without being unnecessarily weighted down with specialized materials or the variable writing of multiple authors. It is filled with vital facts and information for astronomers of all types and for anyone with a scientific interest in the Earth, our Moon, all the other planets and their satellites, and related topics such as asteroids, comets, meteorites and meteors. The language, style, ideas and profuse illustrations will attract the general reader as well as professionals. A thorough report for general readers, it includes much compact reference data. Metaphors, similes and analogies will be of immense help to the lay person or non-science student, and they add to the enjoyment of the material. Vignettes containing historical, literary and even artistic material make this book unusual and interesting, and enhance its scientific content. Kenneth Lang is professor of astronomy in the Physics and Astronomy Department at Tufts University. He is the author of several astrophysics books, including The Sun from Space (Springer Verlag, 2000), Astrophysical Formulae: Radiation, Gas Processes, and High Energy Physics (Springer Verlag, 1999), Sun, Earth and Sky (Copernicus Books, 1997), Astrophysical Data: Planets and Stars (Springer Verlag, 1993), and Wanderers in Space: Exploration and Discovery in the Solar System (Cambridge, 1991),
Customer Reviews:
Surprisingly Up To Date for a 2003 Publication Date.......2007-01-11
Back when I went to college and took a class in astronomy (I think the world was still considered to be flat) we studied all that known at the time about the sun and the planets. The amount of knowledge that we have learned about the solar system since that time makes this book seem to be almost a book on a different subject.
Now the planets have been photographed from spacecraft, and several from landers. Here are pictures from Sojourner rover as it moves around Mars. Here are men walking around on the Moon. Poor Pluto has been lowered in status to a mere Kuiper-belt object (Surprising in a book written before the recent decisions).
All in all, beautiful photographs (157 in color, 159 in B&W), clear line drawings (114), and clearly written text. The book is suitable for use as a text in undergraduate courses, and will have appeal to interested individuals.
Well balanced!.......2004-11-02
This book is written in a clear and easy to read style. If you are a novice on astronomy you will still be able to understand the text. At the same time this book offers enough in-depth and up-to-date information to satisfy the person who is more knowledgeable on the subject. The text is richly illustrated, with a multitude of photographs, charts, schematics, drawings etc.
The first three chapters of the book deal with general subjects like the history of astronomy, the forming of impact craters, the principles of volcanism in the solar system, the (presumed) existence of water on several solar objects, the characteristics of atmospheres of planets and Titan etc. etc. After this there are separate chapters about the earth, our moon, the asteroids, comets and all planets. Unexpectedly, although understandable in view of their similarities, Uranus and Neptune are put together in one chapter. Even more peculiar is the fact that there is not a separate chapter about Pluto and its companion Charon. They are described in four pages in one of the general chapters. So Pluto is not treated as a real planet but more as an object of the Kuiper-belt. The last chapter of the book is called "Worlds colliding" and deals with the impact in 1994 of comet Shoemaker-Levy 9 into Jupiter, collisions of comets with the sun, existing impact craters on earth and the chances of disaster by incoming asteroids/meteoroids.
All in all I find this a very nice book that should appeal to both beginners in the field as to the more knowledgeable "amateur-astronomers" among us. In this way it is a "well balanced" book.
One-Stop Solar System Shopping.......2004-09-23
This is a hugely informative compendium of current knowledge of our solar system. Included is up-to-date science, compiled from the missions of all the modern spacecraft, of all (make that most) of the planets plus all of their known moons; plus comets, asteroids, solar winds, magnetic fields, and everything else present in the solar system. A bonus is found in the beginning chapters of the book, which present the history of astronomical discovery by earthbound explorers, and also a large chapter on Earth itself. Included are informative treatises on the Earth's geology, topology, and atmosphere, setting up equally fascinating examinations of those topics on the other planets. Thus we get up-to-date and in-depth coverage of everything from the bizarre volcanoes of Venus to the encrusted oceans of Europa to the pink smog of Titan. Just watch out for some sneaky politics in the chapter on the Earth, as coverage of atmospheric changes leads to some not wholly appropriate comments on the political side of global warming. And while the book is uniformly fascinating and informative, one humbug for me is a nearly complete lack of coverage for Pluto. This is likely because we haven't yet been able to send a spacecraft there, and also because the creators of this book have followed the currently accepted scientific theory of Pluto as a non-planet that doesn't deserve the attention of the "real" planets. (In fact, Pluto is actually missing from the book's lists of planets of the solar system). Come on, cut the little guy some slack already! [~doomsdayer520~]
Book Description
The Cambridge Photographic Guide to the Planets includes a broad selection of the latest images of the planets, moons, comets, and asteroids of the Earth's Solar System. Beginning with a comprehensive introduction to the planetary system, its origin and its evolution, physicist Frederick Taylor devotes each chapter to a different planet or Solar System body, with a thorough presentation of its moons and rings, and incorporates images from planetary missions and explanatory captions. Having worked with NASA and the European Space Agency on missions to Venus, Mars, Jupiter, Saturn, Mercury, and Titan, Taylor offers an unusually experienced perspective in this comprehensive reference. Frederic W. Taylor is Halley Professor of Physics at the University of Oxford and a Distinguished Visiting Scientist in the Earth and Space Sciences Division at the Jet Propulsion Laboratory, California Institute of Technology. His research interests include the physics of planetary atmospheres; experimental methods for studying atmospheres; and the theory of atmospheric radiation and atmospheric molecular spectroscopy.
Customer Reviews:
For anyone wanting to learn more about celestial objects.......2002-05-11
The Cambridge Photographic Guide To The Planets by Fred Taylor (Halley Professor of Physics, University of Oxford, and Distinguished Visiting Scientist, Earth and Space Sciences Division, Jet Propulsion Laboratory, California Institute of Technology) is a truly gorgeous book filled from cover to cover with full color astronomical photographs taken of planets, moons, and other heavenly bodies in our solar system. The descriptive text is scholarly, yet completely accessible to non-specialist general readers of a wide variety of educational backgrounds. The Cambridge Photographic Guide To The Planets is a splendid volume for anyone wanting to learn more about the celestial objects that are neighbor to Mother Earth, and would make a prized and appreciated addition to any personal, professional, academic, or community library astronomy collection.
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Options on Foreign Exchange (Wiley Series in Financial Engineering)
Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach
Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance)
FX Options and Structured Products (The Wiley Finance Series)
mastering foreign exchange & currency options: a practical guide to the new marketplace (2nd Edition) (Financial Times Series)
