FX Options and Structured Products (The Wiley Finance Series 2nd Edition)

FX Options and Structured Products (The Wiley Finance Series 2nd Edition)

By: Uwe Wystup (author)Hardback

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Description

An academic, yet practical approach to the latest FX market developments FX Options and Structured Products provides new insights into the FX Options market post-crisis, straddling the realms of both academics and practitioners. Products are explained in a simple case study format, with clear examples of all FX options, common structures, and tailor-made solutions. This new second edition contains updated real-world deals complete with explanatory background information, plus new information on yield curve construction, spreading, litigation, and new products and trade ideas. Interviews have been extended to provide additional in-depth information, and new coverage on the latest trading technology guides readers toward cutting edge tools and services. Foreign Exchange Options and Structured Products are typically traded over the counter, and market participants need to fully understand the products to work with them effectively. FX Options and Structured Products is a complete reference, helping practitioners understand the products, how they're used, and how they're priced, and the risk management, hedging, regulatory, and accounting issues involved. * Understand spreads in the interest rate market, and how they affect valuation of FX options * Learn why yield curve construction is a crucial ingredient for pricing, and examine the vanna-volga approach * Explore recent advances in software for trading and platform structuring * Review the various products including accumulators, kikos, auto-callables, and more This authoritative reference also provides expert guidance toward practical application, helping readers structure their own solutions with new ideas and understanding. Knowing how and why particular products are applied in different situations helps practitioners build alternative solutions to client problems. For complete mastery of the FX market, FX Options and Structured Products is a valuable resource and a thorough guide.

About Author

UWE WYSTUP is the founder and managing director of Math-Finance AG, a consulting and software company specializing in quantitative finance, implementation of derivatives models, valuation and validation services. During his career, he worked as a financial engineer, structurer and consultant in FX options trading teams for such banks as Commerzbank, Deutsche Bank, Citibank, UBS and Sal. Oppenheim jr. & Cie. An internationally known FX options expert in academia and practice, he lectures on financial engineering as an honorary professor at Frankfurt School of Finance & Management and a professor of financial option price modeling and foreign exchange derivatives at Antwerp University, in addition to giving seminars all over the world. He coedited (with J rgen Hakala) the industry standard, Foreign Exchange Risk.

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

Product Details

  • ISBN13: 9781118471067
  • Format: Hardback
  • Number Of Pages: 472
  • ID: 9781118471067
  • weight: 958
  • ISBN10: 1118471067
  • edition: 2nd Edition

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