Currency derivatives: pricing theory, exotic options, and hedging applications
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
Wiley
1998
|
| Schriftenreihe: | Wiley series in financial engineering
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 387 S. graph. Darst. |
| ISBN: | 0471252670 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804126853417402368 |
|---|---|
| adam_text | CONTENTS PREFACE VII ACKNOWLEDGMENTS VII ABOUT THE CONTRIBUTORS VIII
INTRODUCTION: FOREIGN EXCHANGE AND ITS RELATED DERIVATIVE INSTRUMENTS 1
DAVID F. DEROSA PART ONE: FORWARDS AND FUTURES CONTRACTS ON FOREIGN
EXCHANGE CHAPTER 1: THE RELATION BETWEEN FORWARD PRICES AND FUTURES
PRICES 13 JOHN C. COX, JONATHAN E. INGERSOLL, JR., AND STEPHEN A. ROSS
CHAPTER 2: FORWARD AND FUTURES CONTRACTS ON FOREIGN EXCHANGE 35 DAVID F.
DEROSA CHAPTER 3: FORWARD AND FUTURES PRICES: EVIDENCE FROM THE FOREIGN
EXCHANGE MARKETS 45 BRADFORD CORNELL AND MARC R. REINGANUM PART TWO:
CURRENCY OPTION PRICING MODELS CHAPTER 4: FOREIGN CURRENCY OPTION VALUES
59 MARK B. GARMAN AND STEVEN W. KOHLHAGEN CHAPTER 5: VALUING FOREIGN
EXCHANGE RATE DERIVATIVES WITH A BOUNDED EXCHANGE PROCESS 67 JONATHAN E.
INGERSOLL, JR. CHAPTER 6: EFFICIENT ANALYTIC APPROXIMATION OF AMERICAN
OPTION VALUES 91 GIOVANNI BARONE-ADESI AND ROBERT E. WHALEY CHAPTER 7: A
SIMPLE TECHNIQUE FOR THE VALUATION AND HEDGING OF AMERICAN OPTIONS 112
T. S. HO, RICHARD C. STAPLETON, AND MARTI G. SUBRAHMANYAM PART THREE:
CURRENCY FUTURES OPTIONS PRICING MODELS CHAPTER 8: THE PRICING OF
COMMODITY CONTRACTS 135 FISCHER BLACK CHAPTER 9: ON VALUING AMERICAN
FUTURES OPTIONS 147 ROBERT E. WHALEY PART FOUR: IMPLIED VOLATILITY IN
CURRENCY DERIVATIVES CHAPTER 10: THE MAGNITUDE OF IMPLIED VOLATILITY
SMILES: THEORY AND EMPIRICAL EVIDENCE FOR EXCHANGE RATES 165 STEPHEN J.
TAYLOR AND XINZHONG XU VI CONTENTS CHAPTER 11: THE TERM STRUCTURE OF
VOLATILITY IMPLIED BY FOREIGN EXCHANGE OPTIONS 181 XINZHONG XU AND
STEPHEN J. TAYLOR PART FIVE: JUMP PROCESS AND STOCHASTIC VOLATILITY
MODELS FOR CURRENCY DERIVATIVES CHAPTER 12: DOLLAR JUMP FEARS,
1984-1992: DISTRIBUTIONAL ABNORMALITIES IMPLICIT IN CURRENCY FUTURES
OPTIONS 203 DAVID S. BATES CHAPTER 13: ON JUMP PROCESSES IN THE FOREIGN
EXCHANGE AND STOCK MARKETS 233 PHILIPPE JORION CHAPTER 14: PRICING
EUROPEAN CURRENCY OPTIONS: A COMPARISON OF THE MODIFIED BLACK-SCHOLES
MODEL AND A RANDOM VARIANCE MODEL 253 MARC CHESNEY AND LOUIS SCOTT PART
SIX: BARRIER, BINARY, AND AVERAGE CURRENCY OPTIONS CHAPTER 15: ON
PRICING BARRIER OPTIONS 275 PETER RITCHKEN CHAPTER 16: PRICING AND
HEDGING DOUBLE-BARRIER OPTIONS: A PROBABILISTIC APPROACH 290 HELYETTE
GEMAN AND MARC YOR CHAPTER 17: ONE-TOUCH DOUBLE BARRIER BINARY OPTION
VALUES 303 CHO H. HUI CHAPTER 18: PRICING EUROPEAN AVERAGE RATE CURRENCY
OPTIONS 310 EDMOND LEVY PART SEVEN: QUANTOS OPTIONS AND EQUITY WARRANTS
WITH SPECIAL CURRENCY FEATURES CHAPTER 19: UNDERSTANDING GUARANTEED
EXCHANGE-RATE CONTRACTS IN FOREIGN STOCK INVESTMENTS 329 EMANUEL DERMAN,
PIOTR KARASINSKI, AND JEFFREY S. WECKER CHAPTER 20: THE PERFECT HEDGE:
TO QUANTO OR NOT TO QUANTO 340 CHRISTOPHER D. PIROS, PH.D. CHAPTER 21:
PRICING FOREIGN INDEX CONTINGENT CLAIMS: AN APPLICATION TO NIKKEI INDEX
WARRANTS 354 AJAY DRAVID, MATTHEW RICHARDSON, AND TON-SHENG SUN INDEX
383
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| ctrlnum | (OCoLC)246206979 (DE-599)BVBBV012237174 |
| dewey-full | 332.4/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.4/5 |
| dewey-search | 332.4/5 |
| dewey-sort | 3332.4 15 |
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| discipline | Wirtschaftswissenschaften |
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| genre_facet | Aufsatzsammlung |
| id | DE-604.BV012237174 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:24:03Z |
| institution | BVB |
| isbn | 0471252670 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008291657 |
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| physical | XII, 387 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley series in financial engineering |
| spelling | Currency derivatives pricing theory, exotic options, and hedging applications ed. by David F. DeRosa New York [u.a.] Wiley 1998 XII, 387 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley series in financial engineering Finanzderivat / Devisentermingeschäft / Devisenoptionsgeschäft / Optionspreistheorie / Portfolio-Management / Hedging / Theorie Preisbildung (DE-588)4047103-2 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Währungsoption (DE-588)4210451-8 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Währungsoption (DE-588)4210451-8 s DE-604 Derivat Wertpapier (DE-588)4381572-8 s Hedging (DE-588)4123357-8 s Preisbildung (DE-588)4047103-2 s Optionspreistheorie (DE-588)4135346-8 s DE-188 DeRosa, David F. Sonstige oth SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008291657&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Currency derivatives pricing theory, exotic options, and hedging applications Finanzderivat / Devisentermingeschäft / Devisenoptionsgeschäft / Optionspreistheorie / Portfolio-Management / Hedging / Theorie Preisbildung (DE-588)4047103-2 gnd Optionspreistheorie (DE-588)4135346-8 gnd Währungsoption (DE-588)4210451-8 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4047103-2 (DE-588)4135346-8 (DE-588)4210451-8 (DE-588)4123357-8 (DE-588)4381572-8 (DE-588)4143413-4 |
| title | Currency derivatives pricing theory, exotic options, and hedging applications |
| title_auth | Currency derivatives pricing theory, exotic options, and hedging applications |
| title_exact_search | Currency derivatives pricing theory, exotic options, and hedging applications |
| title_full | Currency derivatives pricing theory, exotic options, and hedging applications ed. by David F. DeRosa |
| title_fullStr | Currency derivatives pricing theory, exotic options, and hedging applications ed. by David F. DeRosa |
| title_full_unstemmed | Currency derivatives pricing theory, exotic options, and hedging applications ed. by David F. DeRosa |
| title_short | Currency derivatives |
| title_sort | currency derivatives pricing theory exotic options and hedging applications |
| title_sub | pricing theory, exotic options, and hedging applications |
| topic | Finanzderivat / Devisentermingeschäft / Devisenoptionsgeschäft / Optionspreistheorie / Portfolio-Management / Hedging / Theorie Preisbildung (DE-588)4047103-2 gnd Optionspreistheorie (DE-588)4135346-8 gnd Währungsoption (DE-588)4210451-8 gnd Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Finanzderivat / Devisentermingeschäft / Devisenoptionsgeschäft / Optionspreistheorie / Portfolio-Management / Hedging / Theorie Preisbildung Optionspreistheorie Währungsoption Hedging Derivat Wertpapier Aufsatzsammlung |
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