FX Options and Structured Products.
Uwe. Wystup
Bok Engelsk 2017 · Electronic books.
| Omfang | 1 online resource (475 pages)
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|---|---|
| Utgave | 2nd ed.
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| Opplysninger | Cover -- Title Page -- Copyright -- Contents -- List of Tables -- List of Figures -- Preface -- About the Author -- Acknowledgments -- Chapter 1: Foreign Exchange Derivatives -- 1.1 Literature Review -- 1.2 A Journey through the History of Options -- 1.3 Currency Options -- 1.4 Technical Issues for Vanilla Options -- 1.4.1 Valuation in the Black-Scholes Model -- 1.4.2 A Note on the Forward -- 1.4.3 Vanilla Greeks in the Black-Scholes Model -- 1.4.4 Reoccurring Identities -- 1.4.5 Homogeneity based Relationships -- 1.4.6 Quotation Conventions -- 1.4.7 Strike in Terms of Delta -- 1.4.8 Volatility in Terms of Delta -- 1.4.9 Volatility and Delta for a Given Strike -- 1.4.10 Greeks in Terms of Deltas -- 1.4.11 Settlement -- 1.4.12 Exercises -- 1.5 Volatility -- 1.5.1 Historic Volatility -- 1.5.2 Historic Correlation -- 1.5.3 Volatility Smile -- 1.5.4 At-The-Money Volatility Interpolation -- 1.5.5 Volatility Smile Conventions -- 1.5.6 At-The-Money Definition -- 1.5.7 Interpolation of the Volatility on Fixed Maturity Pillars -- 1.5.8 Interpolation of the Volatility Spread between Maturity Pillars -- 1.5.9 Volatility Sources -- 1.5.10 Volatility Cones -- 1.5.11 Stochastic Volatility -- 1.5.12 Exercises -- 1.6 Basic Strategies Containing Vanilla Options -- 1.6.1 Call and Put Spread -- 1.6.2 Risk Reversal -- 1.6.3 Straddle -- 1.6.4 Strangle -- 1.6.5 Butterfly -- 1.6.6 Condor -- 1.6.7 Seagull -- 1.6.8 Calendar Spread -- 1.6.9 Exercises -- 1.7 First Generation Exotics -- 1.7.1 Classification -- 1.7.2 European Digitals and the Windmill Effect -- 1.7.3 Barrier Options -- 1.7.4 Touch Contracts -- 1.7.5 Compound and Installment -- 1.7.6 Asian Options -- 1.7.7 Lookback Options -- 1.7.8 Forward Start, Ratchet, and Cliquet Options -- 1.7.9 Power Options -- 1.7.10 Quanto Options -- 1.7.11 Exercises -- 1.8 Second Generation Exotics (Single Currency Pair).. - 1.8.1 Multiplicity Power Options -- 1.8.2 Corridors/Range Accruals -- 1.8.3 Faders -- 1.8.4 Exotic Barrier Options -- 1.8.5 Pay-Later Options -- 1.8.6 Step Up and Step Down Options -- 1.8.7 Options and Forwards on the Harmonic Average -- 1.8.8 Variance and Volatility Swaps -- 1.8.9 Forward Volatility Agreements (FVAs) -- 1.8.10 Exercises -- 1.9 Second Generation Exotics (Multiple Currency Pairs) -- 1.9.1 Spread and Exchange Options -- 1.9.2 Baskets -- 1.9.3 Outside Barrier Options -- 1.9.4 Best-of and Worst-of Options -- 1.9.5 Other Multi-Currency Options -- 1.9.6 Correlation Swap -- 1.9.7 Exercises -- Chapter 2: Structured Products -- 2.1 Forward Transactions -- 2.1.1 Outright Forward -- 2.1.2 Participating Forward -- 2.1.3 Participating Collar -- 2.1.4 Fade-In Forward -- 2.1.5 Knock-Out Forward -- 2.1.6 Shark Forward -- 2.1.7 Fader Shark Forward -- 2.1.8 Butterfly Forward -- 2.1.9 Range Forward -- 2.1.10 Range Accrual Forward -- 2.1.11 Accumulative Forward -- 2.1.12 Boomerang Forward -- 2.1.13 Amortizing Forward -- 2.1.14 Auto-Renewal Forward -- 2.1.15 Double Shark Forward -- 2.1.16 Forward Start Chooser Forward -- 2.1.17 Free Style Forward -- 2.1.18 Boosted Spot/Forward -- 2.1.19 Flexi Forward/Time Option -- 2.1.20 Strike Leverage Forward -- 2.1.21 Escalator Ratio Forward -- 2.1.22 Intrinsic Value Ratio Knock-Out Forward -- 2.1.23 Tender Linked Forward -- 2.1.24 Exercises -- 2.2 Target Forwards -- 2.2.1 Plain Target Forward -- 2.2.2 Leveraged Target Forward -- 2.2.3 Target Profit Forward -- 2.2.4 Pivot Target Forward (PTF) -- 2.2.5 KIKO Tarn -- 2.2.6 Target Forwards in the Media -- 2.2.7 Valuation and Hedging of Target Forwards -- 2.2.8 Exercises -- 2.3 Series of Strategies -- 2.3.1 Shark Forward Series -- 2.3.2 Collar Extra Series -- 2.3.3 Exercises -- 2.4 Deposits, Loans, Bonds, and Certificates -- 2.4.1 Dual Currency Deposit/Loan.. - 2.4.2 Performance-Linked Deposits -- 2.4.3 Tunnel Deposit/Loan -- 2.4.4 Corridor Deposit/Loan -- 2.4.5 Turbo Deposit/Loan -- 2.4.6 Tower Deposit/Loan -- 2.4.7 FX-linked Bonds -- 2.4.8 FX-Express Certificate -- 2.4.9 Exercises -- 2.5 Interest Rate and Cross Currency Swaps -- 2.5.1 Cross Currency Swap -- 2.5.2 Hanseatic Swap -- 2.5.3 Turbo Cross Currency Swap -- 2.5.4 Buffered Cross Currency Swap -- 2.5.5 Flip Swap -- 2.5.6 Corridor Swap -- 2.5.7 Currency Related Swap (CRS) -- 2.5.8 Double-No-Touch Linked Swap -- 2.5.9 Range Reset Swap -- 2.5.10 Exercises -- 2.6 Participation Notes -- 2.6.1 Gold Participation Note -- 2.6.2 Basket-Linked Note -- 2.6.3 Issuer Swap -- 2.6.4 Moving Strike Turbo Spot Unlimited -- 2.7 Hybrid FX Products -- 2.7.1 Long-Term FX Options -- 2.7.2 Power Reverse Dual Currency Bonds -- 2.7.3 Hybrid Forward Contracts -- 2.7.4 Dual Asset Range Accrual Note -- 2.8 Treasury Case Studies -- 2.8.1 FX Protection for EM Currencies with High Swap Points -- 2.8.2 Exit Strategies for a Sick Floan -- 2.8.3 Trade Ideas for FX Risk Management in View of Brexit -- 2.8.4 Inverse DCD -- 2.8.5 Exercises -- Chapter 3: Hedge Accounting -- 3.1 Hedge Accounting under IAS 39 -- 3.1.1 Introduction -- 3.1.2 Financial Instruments -- 3.1.3 Evaluation of Financial Instruments -- 3.1.4 Hedge Accounting -- 3.1.5 Methods for Testing Hedge Effectiveness -- 3.1.6 Testing for Effectiveness - A Case Study of the Forward Plus -- 3.1.7 Conclusion -- 3.1.8 Relevant Original Sources for Accounting Standards -- 3.2 Hedge Accounting under IFRS 9 -- 3.2.1 Hedge Effectiveness -- 3.2.2 Documentation and Qualifying Criteria -- 3.2.3 Case Study: Shark Forward -- 3.2.4 Conclusion and Outlook -- Chapter 4: Foreign Exchange Markets -- 4.1 Vanna-Volga Pricing -- 4.1.1 Cost of Vanna and Volga -- 4.1.2 Observations -- 4.1.3 Consistency Check -- 4.1.4 Adjustment Factor.. - 4.1.5 Volatility for Risk Reversals, Butterflies, and Theoretical Value -- 4.1.6 Pricing Barrier Options -- 4.1.7 Pricing Double Barrier Options -- 4.1.8 Pricing Double-No-Touch Contracts -- 4.1.9 Pricing Path-Independent Contracts -- 4.1.10 No-Touch Probability -- 4.1.11 The Cost of Trading and its Implication on the One-Touch MTM -- 4.1.12 Example -- 4.1.13 Further Applications -- 4.1.14 Critical Assessment -- 4.2 Bid-Ask Spreads -- 4.2.1 Vanilla Spreads -- 4.2.2 Spreading Vanilla Structures -- 4.2.3 One-Touch Spreads -- 4.2.4 Spreads for First Generation Exotics -- 4.2.5 Minimal Bid-Ask Spread -- 4.2.6 Bid-Ask Prices -- 4.3 Systems and Software -- 4.3.1 Position Keeping -- 4.3.2 Reference Prices and Volatilities -- 4.3.3 Straight Through Processing -- 4.3.4 Disclaimers -- 4.4 Trading and Sales -- 4.4.1 Proprietary Trading -- 4.4.2 Sales-Driven Trading -- 4.4.3 Inter Bank Sales -- 4.4.4 Branch Sales -- 4.4.5 Institutional Sales -- 4.4.6 Corporate Sales -- 4.4.7 Private Banking -- 4.4.8 Retail FX Derivatives -- 4.4.9 Exchange Traded FX Derivatives -- 4.4.10 Casino FX Products -- 4.4.11 Treasury -- 4.4.12 Fixings and Cutoffs -- 4.4.13 Trading Floor Joke -- 4.5 Currency Pairs -- 4.5.1 ISO 4217 Currency Code List -- 4.6 Things to Remember -- 4.7 Glossary -- Bibliography -- Index -- EULA.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781118471135
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