{"product_id":"foreign-exchange-option-pricing-a-practitioners-guide-9780470683682","title":"Foreign Exchange Option Pricing: A Practitioner's Guide","description":"\u003cp\u003e • Author(s): Iain J. Clark\u003cbr\u003e • Publisher: Wiley\u003cbr\u003e • Publisher Imprint: Wiley\u003cbr\u003e • BISAC: Foreign Exchange\u003c\/p\u003e\u003cp\u003eThis book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange--not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. \u003c\/p\u003e\u003cp\u003eWith content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models - an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: \u003c\/p\u003e \u003cul\u003e \u003cli\u003eCorrect market conventions for FX volatility surface construction\u003c\/li\u003e \u003cli\u003eAdjustment for settlement and delayed delivery of options\u003c\/li\u003e \u003cli\u003ePricing of vanillas and barrier options under the volatility smile\u003c\/li\u003e \u003cli\u003eBarrier bending for limiting barrier discontinuity risk near expiry\u003c\/li\u003e \u003cli\u003eIndustry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids\u003c\/li\u003e \u003cli\u003eFourier transform methods for pricing European options using characteristic functions\u003c\/li\u003e \u003cli\u003eStochastic and local volatility models, and a mixed stochastic\/local volatility model\u003c\/li\u003e \u003cli\u003eThree-factor long-dated FX model\u003c\/li\u003e \u003cli\u003eNumerical calibration techniques for all the models in this work\u003c\/li\u003e \u003cli\u003eThe augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eConnecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Hardcover","offer_id":45034432266391,"sku":"9780470683682","price":7831.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9780470683682.webp?v=1767262368","url":"https:\/\/atlanticbooks.com\/products\/foreign-exchange-option-pricing-a-practitioners-guide-9780470683682","provider":"Atlantic Books","version":"1.0","type":"link"}