Options on Foreign Exchange

Front Cover
John Wiley & Sons, 2000 - Business & Economics - 222 pages
2 Reviews
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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Contents

Introduction to the Currency Option Market
1
Foreign Exchange Basics
7
Trading Currency Options
29
European Currency Options
47
European Currency Option Analytics
67
Volatility
97
American Exercise Currency Options
123
Currency Futures Options
147
Nonbarrier Exotic Currency Options
195
Bibliography
207
Index 217
219
Copyright

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New Financial Instruments
Julian Walmsley
No preview available - 1998
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About the author (2000)

\DAVID F. DEROSA is President of DeRosa Research and Trading, Inc. and Adjunct Professor of Finance at the Yale School of Management. He has worked at a number of Wall Street asset management firms and has traded foreign exchange for Swiss Bank Corporation, New York. DeRosa received his PhD in finance and economics from the Graduate School of Business of the University of Chicago. He is the editor of Currency Derivatives (Wiley), and the author of Managing Foreign Exchange Risk. DeRosa also contributes columns on international finance to Bloomberg News.

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