Fx Barrier Options: A Comprehensive Guide For Industry Quants (applied Quantitative Finance)
by Zareer Dadachanji /
2016 / English / PDF
2 MB Download
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.
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.