Currency derivatives
Subtitle: pricing theory, exotic options, and hedging applications
By: edited by David F. DeRosa.
Contributors: DeRosa, David F.
Series: Wiley series in financial engineering
Publisher: Wiley
Published: 1998
Place of publication: New York
Language: eng
Number of pages: 387
Subjects: Foreign exchange market.; Foreign exchange futures.; Exotic options (Finance); Hedging (Finance)
Description: This book contains many of the most important scientific papers that collectively constitute the core of modern currency derivatives theory. What is remarkable is that each and every one of these papers has found its place in the real world of currency derivatives trading.

The articles in this book span the entire currency derivatives field: forward and futures contracts, vanilla currency puts and calls, models for American exercise currency options, options on currencies with bounded exchange rate regimes, currency futures options, the term and strike structure of implied volatility, jump and stochastic volatility option pricing models, barrier options. Asian options, and various sorts of quanto options.
Notes: Includes bibliographical references and index.
Collection of scientific articles.