Book Description
Publication Date: January 25, 2011 | Series: The Wiley Finance Series
This 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.
Most Helpful Customer Reviews
8 of 8 people found the following review helpful
5.0 out of 5 stars A real practioner's book April 13, 2011
By M. Carreira
Format:Hardcover|Amazon Verified Purchase
I traded BRLUSD options for 5 years, and Iain's book is the only book that covers all the different aspects of trading and modelling FX options:
Different delta conventions
Market strangles, and how to fit your interpolating function to the traded strikes
Realistic interpolations for volatility surface construction
Local volatility in FX
Local Stochastic Volatility Models
Longdated FX Options
Also covered are the different issues and approaches of implementing the models, like Monte Carlo and PDEs; and a good discussion of barrier bending and exotics.
The focus is on presenting the methods and formulas, not proving theorems; even so, traders should not treat it as only a formula depository, there's real depth behind it.
Highly recommended for anyone trading or modelling FX options.
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