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| Preface | ||
| Acknowledgments | ||
| About the Contributors | ||
| Introduction: Foreign Exchange and Its Related Derivative Instruments | 1 | |
| Pt. 1 | Forwards and Futures Contracts on Foreign Exchange | |
| Ch. 1 | The Relation between Forward Prices and Futures Prices | 13 |
| Ch. 2 | Forward and Futures Contracts on Foreign Exchange | 35 |
| Ch. 3 | Forward and Futures Prices: Evidence from the Foreign Exchange Markets | 45 |
| Pt. 2 | Currency Option Pricing Models | |
| Ch. 4 | Foreign Currency Option Values | 59 |
| Ch. 5 | Valuing Foreign Exchange Rate Derivatives with a Bounded Exchange Process | 67 |
| Ch. 6 | Efficient Analytic Approximation of American Option Values | 91 |
| Ch. 7 | A Simple Technique for the Valuation and Hedging of American Options | 112 |
| Pt. 3 | Currency Futures Options Pricing Models | |
| Ch. 8 | The Pricing of Commodity Contracts | 135 |
| Ch. 9 | On Valuing American Futures Options | 147 |
| Pt. 4 | Implied Volatility in Currency Derivatives | |
| Ch. 10 | The Magnitude of Implied Volatility Smiles: Theory and Empirical Evidence for Exchange Rates | 165 |
| Ch. 11 | The Term Structure of Volatility Implied by Foreign Exchange Options | 181 |
| Pt. 5 | Jump Process and Stochastic Volatility Models for Currency Derivatives | |
| Ch. 12 | Dollar Jump Fears, 1984-1992: Distributional Abnormalities Implicit in Currency Futures Options | 203 |
| Ch. 13 | On Jump Processes in the Foreign Exchange and Stock Markets | 233 |
| Ch. 14 | Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model | 253 |
| Pt. 6 | Barrier, Binary, and Average Currency Options | |
| Ch. 15 | On Pricing Barrier Options | 275 |
| Ch. 16 | Pricing and Hedging Double-Barrier Options: A Probabilistic Approach | 290 |
| Ch. 17 | One-Touch Double Barrier Binary Option Values | 303 |
| Ch. 18 | Pricing European Average Rate Currency Options | 310 |
| Pt. 7 | Quantos Options and Equity Warrants with Special Currency Features | |
| Ch. 19 | Understanding Guaranteed Exchange-Rate Contracts in Foreign Stock Investments | 329 |
| Ch. 20 | The Perfect Hedge: To Quanto or Not to Quanto | 340 |
| Ch. 21 | Pricing Foreign Index Contingent Claims: An Application to Nikkei Index Warrants | 354 |
| Index | 383 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Jasmin P Bratrsovsky
reviewed Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications on March 01, 2015
Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications
Bookreview: Fundamentals of Futures and Options Markets by John C. Hull
Cuốn sách nà y là căn bản vá» các sản phẩm phái sinh: Futures, Forward, Options, và Swap. Má»™t tác phẩm dà y và nặng, khá là chi tiết. Mình dá»± định sẽ Ä‘á»c nó trong 1 tuần nhÆ°ng phải váºt vã má»™t tháng má»›i xong.
John giá»›i thiệu chi tiết vá» các sản phẩm, công thức toán há»c đứng đằng sau nó, suy nghÄ© của những nhà tạo láºp thị trÆ°á»ng khi tạo ra má»™t quote giao dịch. Vá»›i Future và Forward, ông giá»›i thiệu các chiến thuáºt Hedging mà big boy hay dùng, vá»›i Options, các chiến thuáºt trade hay Hedging cà ng phức tạp và thú vị hÆ¡n.
Sản phẩm mới và hấp dẫn nhất là Swap, một thứ mà theo Hull, chỉ có thể bị giới hạn bởi trà tưởng tượng của trader.
Äá»c sách, ngoà i các chiến thuáºt hấp dẫn để kiếm tiá»n, bạn có thể phần nà o hiểu được tÆ° duy của big boy nhÆ° quỹ, bank khi và o lệnh. Hiểu được tại sao khi các ngân hà ng trung Æ°Æ¡ng thay đổi lãi suất thì thị trÆ°á»ng biến Ä‘á»™ng.
Phần bonus đặc biệt ở cuối sách là những tấm gÆ°Æ¡ng thất bại. Vâng vì đây là má»™t cuốn sách vá» kỹ thuáºt, ta sẽ há»c há»i từ những trader đã thua lá»— hà ng tỉ đô, là m sáºp những ngân hà ng trăm năm hay rung lắc má»™t ná»n kinh tế.
Tất cả có trong Fundamentals of Futures and Options Markets
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Add Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications, 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 stud, Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications to the inventory that you are selling on WonderClubX
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Add Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications, 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 stud, Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications to your collection on WonderClub |
