FX Options and Structured Products
John Wiley & Sons Inc
978-0-470-01145-4 (ISBN)
Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
UWE WYSTUP is CEO of www.mathfinance.com, a global network of quants specializing in modeling and implementing Foreign Exchange Exotics. He has been working as Financial Engineer, Structurer and Consultant in FX Options Trading Teams of Citibank, UBS, Sal. Oppenheim and Commerzbank since 1992 and became an internationally known FX Options expert in both Academia and Practice. Uwe holds a PhD in mathematical finance from Carnegie Mellon University and has been appointed a professor of Quantitative Finance at HfB-Business School of Finance and Management in Frankfurt, where he is in charge of the Master Program in Quantitative Finance. His first book Foreign Exchange Risk co-edited with Jürgen Hakala published in 2002, he has also published articles in Finance and Stochastics, the Journal of Derivatives and The MathFinance Newsletter.
Preface. Scope of this Book.
The Readership.
About the Author.
Acknowledgments.
1 Foreign Exchange Options.
1.1 A Journey through the History Of Options.
1.2 Technical Issues for Vanilla Options.
1.3 Volatility.
1.4 Basic Strategies containing Vanilla Options.
1.5 First Generation Exotics.
1.6 Second Generation Exotics.
2 Structured Products.
2.1 Forward Products.
2.2 Series of Strategies.
2.3 Deposits and Loans.
2.4 Interest Rate and Cross Currency Swaps.
2.5 Participation Notes.
3 Practical Matters.
3.1 The Traders’ Rule of Thumb.
3.2 Bid–Ask Spreads.
3.3 Settlement.
3.4 On the Cost of Delayed Fixing Announcements.
4 Hedge Accounting under IAS 39.
4.1 Introduction.
4.2 Financial Instruments.
4.3 Evaluation of Financial Instruments.
4.4 Hedge Accounting.
4.5 Methods for Testing Hedge Effectiveness.
4.6 Testing for Effectiveness - A Case Study of the Forward Plus.
4.7 Conclusion.
4.8 Relevant Original Sources for Accounting Standards.
4.9 Exercises.
5 Foreign Exchange Markets.
5.1 A Tour through the Market.
5.2 Software and System Requirements.
5.3 Trading and Sales.
Bibliography.
Index.
Erscheint lt. Verlag | 1.1.2007 |
---|---|
Reihe/Serie | Wiley Finance Series |
Verlagsort | New York |
Sprache | englisch |
Maße | 176 x 250 mm |
Gewicht | 765 g |
Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
ISBN-10 | 0-470-01145-9 / 0470011459 |
ISBN-13 | 978-0-470-01145-4 / 9780470011454 |
Zustand | Neuware |
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