[BOOK][B] FX options and structured products
U Wystup - 2017 - books.google.com
Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding
of money market and foreign exchange products, turn to FX Options and Structured …
of money market and foreign exchange products, turn to FX Options and Structured …
[BOOK][B] Financial engineering with finite elements
J Topper - 2005 - books.google.com
The pricing of derivative instruments has always been a highly complex and time-consuming
activity. Advances in technology, however, have enabled much quicker and more accurate …
activity. Advances in technology, however, have enabled much quicker and more accurate …
[PDF][PDF] Option pricing formulae using Fourier transform: Theory and application
M Schmelzle - Preprint, http://pfadintegral. com, 2010 - pfadintegral.com
Fourier transform techniques are playing an increasingly important role in Mathematical
Finance. For arbitrary stochastic price processes for which the characteristic functions are …
Finance. For arbitrary stochastic price processes for which the characteristic functions are …
FX smile in the Heston model
The universal benchmark for option pricing is flawed. The Black-Scholes formula is based
on the assumption of a geometric Brownian motion (GBM) dynamics with constant volatility …
on the assumption of a geometric Brownian motion (GBM) dynamics with constant volatility …
[BOOK][B] FX options and smile risk
A Castagna - 2010 - books.google.com
The FX options market represents one of the most liquid and strongly competitive markets in
the world, and features many technical subtleties that can seriously harm the uninformed …
the world, and features many technical subtleties that can seriously harm the uninformed …
Implied volatility of leveraged ETF options
T Leung, R Sircar - Applied Mathematical Finance, 2015 - Taylor & Francis
This paper studies the problem of understanding implied volatilities from options written on
leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between …
leveraged exchanged-traded funds (LETFs), with an emphasis on the relations between …
Exact simulation of option Greeks under stochastic volatility and jump diffusion models
M Broadie, O Kaya - … of the 2004 Winter Simulation Conference …, 2004 - ieeexplore.ieee.org
This paper derives Monte Carlo simulation estimators to compute option price derivatives, ie,
the'Greeks,'under Heston's stochastic volatility model and some variants of it which include …
the'Greeks,'under Heston's stochastic volatility model and some variants of it which include …
Smart Monte Carlo: various tricks using Malliavin calculus
E Benhamou - Quantitative finance, 2002 - iopscience.iop.org
Abstract Current Monte Carlo pricing engines may face a computational challenge for the
Greeks, not only because of their time consumption but also their poor convergence when …
Greeks, not only because of their time consumption but also their poor convergence when …
Closed formula for options with discrete dividends and its derivatives
C Veiga, U Wystup - Applied Mathematical Finance, 2009 - Taylor & Francis
We present a closed pricing formula for European options under the Black–Scholes model
as well as formulas for its partial derivatives. The formulas are developed making use of …
as well as formulas for its partial derivatives. The formulas are developed making use of …
[BOOK][B] FX Barrier Options: A comprehensive guide for industry quants
Z Dadachanji - 2015 - Springer
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 …
challenges to practitioners in all areas of the financial industry. They are traded heavily as …