Uwe Wystup

FX Options and Structured Products

• Gebundenes Buch

Produktbeschreibung

A comprehensive guide to the practical realities of the most widely used FX options and option strategies in a post-crisis world

Since 2008 there has been very rapid growth in the number of corporations, investors and financial institutions worldwide turning to structured products to achieve cost savings, risk controls and yield enhancements. Pitched to the needs of finance professionals for up-to-date practical information about FX options and structured products, this fully updated second edition of Uwe Wystup's popular guide provides a comprehensive look at the most popular FX options products and trading strategies. Focusing on everything beyond vanilla options, author Uwe Wystup covers all the bases, including quotation conventions, seagulls, shark forwards, bid-ask spreads, settlement, fixings, hedging accumulators, unwinding FX-linked swaps and deposits, pricing first-generation exotics, and more.
* Uses interviews and descriptions of real-life deals throughout to demonstrate how FX products are applied in day-to-day situations
* An excellent introduction to the quantitative fundamentals of FX products for structurers and sales reps
* The ideal guide for quants and traders seeking to learn the structuring view and client perspective
* An indispensable resource for newcomers to the market to FX particularities, jargon and trading strategies

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• Artikelnr. des Verlages: 1W118471060
• 2. Aufl.
• Seitenzahl: 480
• Erscheinungstermin: 21. Juli 2017
• Englisch
• Abmessung: 250mm x 175mm x 30mm
• Gewicht: 1002g
• ISBN-13: 9781118471067
• ISBN-10: 1118471067
• Artikelnr.: 36906964

Autorenporträt

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 Jürgen Hakala) the industry standard, Foreign Exchange Risk.

Inhaltsangabe

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