FX Derivatives Trader School

620 Pages·2015·15.58 MB·English

by  Giles Peter Jewitt

FX D
ERIVATIVES
T S
RADER CHOOL
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FX D
ERIVATIVES
T S
RADER CHOOL
Giles Jewitt
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For my wife and daughters: Laura, Rosie, and Emily.

CONTENTS
Preface xi
Acknowledgments xiii
PART I The Basics 1
vii
CHAPTER1 IntroductiontoForeignExchange 3
CHAPTER2 IntroductiontoFXDerivatives 11
CHAPTER3 IntroductiontoTrading 19
PracticalA BuildingaTradingSimulatorinExcel 27
CHAPTER4 FXDerivativesMarketStructure 39
CHAPTER5 TheBlack-ScholesFramework 57
PracticalB BuildingaNumericalIntegrationOptionPricerinExcel 69
CHAPTER6 VanillaFXDerivativesGreeks 77
PracticalC BuildingaBlack-ScholesOptionPricerinExcel 91
CHAPTER7 VanillaFXDerivativesPricing 103
CHAPTER8 VanillaFXDerivativesStructures 121
CHAPTER9 VanillaFXDerivativesRiskManagement 137
CHAPTER10 VanillaFXDerivativesMiscellaneousTopics 159
PracticalD GeneratingTenorDatesinExcel 165
PART II The Volatility Surface 169
CHAPTER11 ATMCurveConstruction 171
PracticalE ConstructinganATMCurveinExcel 193
CHAPTER12 VolatilitySmileMarketInstrumentsand
Exposures 205
PracticalF ConstructingaVolatilitySmileinExcel 233
CHAPTER13 ProbabilityDensityFunctions 241
PracticalG GeneratingaProbabilityDensityFunctionfromOption
PricesinExcel 253
viii
PART III Vanilla FX Derivatives Trading 261
S
T
N
E CHAPTER14 VanillaFXDerivativesTradingExposures 263
T
N
O
C CHAPTER15 VanillaFXDerivativesTradingTopics 293
CHAPTER16 ATMVolatilityandCorrelation 313
CHAPTER17 FXDerivativesMarketAnalysis 323
PART IV Exotic FX Derivatives 355
CHAPTER18 ExoticFXDerivativesPricing 357
CHAPTER19 FXDerivativesPricingModels 375
CHAPTER20 ExoticFXDerivativesProductClassification 387
CHAPTER21 EuropeanDigitalOptions 399