×

Uh-oh, it looks like your Internet Explorer is out of date.

For a better shopping experience, please upgrade now.

FX Options and Structured Products / Edition 1
     

FX Options and Structured Products / Edition 1

by Uwe Wystup, Uwe Wystup
 

ISBN-10: 0470011459

ISBN-13: 9780470011454

Pub. Date: 01/22/2007

Publisher: Wiley

"An excellent reference for the most widely used options and option strategies. It gives a great overview of the products and goes further for those who are interested in the quant side. All sales, structurers and traders should have a copy on their desk."
Tamás Korchmáros, Credit Suisse Structured FX & Treasury Products

Overview

"An excellent reference for the most widely used options and option strategies. It gives a great overview of the products and goes further for those who are interested in the quant side. All sales, structurers and traders should have a copy on their desk."
Tamás Korchmáros, Credit Suisse Structured FX & Treasury Products

Product Details

ISBN-13:
9780470011454
Publisher:
Wiley
Publication date:
01/22/2007
Series:
Wiley Finance Series , #331
Edition description:
BK&CD-ROM
Pages:
340
Product dimensions:
6.93(w) x 9.82(h) x 0.99(d)

Table of Contents

0 Preface 17

0.1 Scope of this Book 17

0.2 The Readership 18

0.3 About the Author 19

0.4 Acknowledgments 19

1 Foreign Exchange Derivatives 21

1.1 Literature Review 21

1.2 A Journey through the History of Options 21

1.3 Currency Options 23

1.4 Technical Issues for Vanilla Options 24

1.5 Volatility . 55

1.6 Basic Strategies Containing Vanilla Options . . 83

1.7 First Generation Exotics . 104

1.8 Second Generation Exotics (Single Currency Pair) . 192

1.9 Second Generation Exotics (Multiple Currency Pairs) 217

2 Structured Products 237

2.1 Forward Transactions 237

2.2 Target Forwards 291

2.3 Series of Strategies 320

2.4 Deposits, Loans, Bonds and Certificates . 324

2.5 Interest Rate and Cross Currency Swaps . 344

2.6 Participation Notes 376

2.7 Hybrid FX Products 381

2.8 Treasury Case Studies 389

3 Hedge Accounting 403

3.1 Hedge Accounting under IAS 39 403

3.2 Hedge Accounting under IFRS 9 475

4 Foreign Exchange Markets 483

4.1 Vanna-Volga Pricing 483

4.2 Bid–Ask Spreads 495

4.3 Systems and Software 498

4.4 Trading and Sales 500

4.5 Currency Pairs 506

4.6 Things to Remember 510

4.7 Glossary 510

Customer Reviews

Average Review:

Post to your social network

     

Most Helpful Customer Reviews

See all customer reviews