FX Option Performance

Jessica James , Jonathan Fullwood , Peter Billington 지음

Wiley 2015년 04월 21일 출간

작품소개

책소개

Get the little known &n- yet crucial &n- facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific &n- travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?

목차

About the Authors xi CHAPTER 1 Introduction 1 1.1 Why Read This Book? 1 1.2 This Book 3 1.3 What Is an FX Option? 3 1.4 Market Participants 5 1.4.1 How Hedgers Can Use This Information 6 1.4.2 How Investors Can Use This Information 7 1.5 History and Size of the FX Option Market 9 1.6 The FX Option Trading Day 14 1.7 Summary 14 References 14 CHAPTER 2 The FX Option Market: How Options Are Traded and What That Implies for Option Value 17 2.1 Introduction 17 2.2 The Basics of Option Pricing 18 2.2.1 The Black-Scholes-Merton Model 18 2.2.2 The Impact of Volatility 20 2.2.3 The Impact of Rate Differentials 21 2.3 How Options Are Traded 22 2.3.1 Two Views of Volatility 23 2.3.2 Static Trading 24 2.3.3 Dynamic Trading 24 2.4 A More Detailed Discussion of Option Trading 26 2.4.1 The Greeks 26 2.5 Summary 31 References 31 CHAPTER 3 It Is All About the Data 33 3.1 Introduction 33 3.2 The Goal: To Price Lots of Options! 34 3.3 Defining a Universe of Currencies 34 3.4 The Data 37 3.4.1 Pricing Model Data Requirements 38 3.4.2 Sourcing the Data 39 3.4.3 Calculation Frequency 40 3.4.4 Currency of Option Notional Amount 41 3.4.5 Spot Market Value 42 3.5 Limitations 43 3.6 Summary 45 References 45 CHAPTER 4 At-the-Money-Forward (ATMF) Options 47 4.1 What Are ATMF Options? 47 4.1.1 How Are ATMF Options Used and Traded? 47 4.1.2 What Is the ‘Fair&' Price for an ATMF Option? 48 4.2 How Might Mispricings Arise? 50 4.2.1 Can the Forward Rate Be on Average Wrong? 51 4.2.2 Can the Implied Volatility Be on Average Wrong? 52 4.2.3 Simple Example with USDJPY 53 4.3 Results for Straddles for All Currency Pairs 55 4.3.1 Di

작가정보

저자(글) Jessica James

저자(글) Jonathan Fullwood

저자(글) Peter Billington