Home » FX Barrier Options: A Comprehensive Guide for Industry Quants by Zareer Dadachanji
FX Barrier Options: A Comprehensive Guide for Industry Quants Zareer Dadachanji

FX Barrier Options: A Comprehensive Guide for Industry Quants

Zareer Dadachanji

Published
ISBN : 9781137462749
Hardcover
323 pages
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 About the Book 

Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as stand-alone contracts in the FX options market, andMoreBarrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as stand-alone contracts in the FX options market, and are second only to vanilla options, representing a huge portion of this trillion dollar market. Structured products in FX commonly include barrier features, and in order to analyse the effect these features have on the overall structured product, it is important first to understand how individual barrier options work.This book takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It will derive, demonstrate and analyse a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation and risk-management models across a range of scenarios. Coverage will include: