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FX Barrier Options: A Comprehensive Guide for Industry Quants [Hardcover]

Item : FX Barrier Options: A Comprehensive Guide for Industry Quants [Hardcover]
Price : $100.99 (see below)
Category : Books
Author Author : Dadachanji, Zareer
ISBN-10 ISBN-10 : 1137462744
ISBN-13 ISBN-13 : 9781137462749
Publisher Publisher : Palgrave Macmillan
Pages Pages : 280
Binding Binding : Hardcover
Item ID : 100068120

Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them.FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave.FX Barrier Options takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It presents and explains concepts in a highly intuitive manner throughout, to allow quantitatively minded traders, structurers, marketers, salespeople and software engineers to acquire a more rigorous analytical understanding of these products.The book derives, demonstrates and analyses a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation models and risk-management methods. Discussions focus on the practical realities of the market and demonstrate the behaviour of models based on real and recent market data across a range of currency pairs. It furthermore offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon.

'FX Barrier Options are the subject of more in-depth study by practitioners than almost any other class of exotic options and yet they have been given relatively short shrift in the literature until now. Zareer Dadachanji's book brilliantly fills this gap. Readers are led gently but thorouglú.

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