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cprasad
Topic Author
Posts: 4
Joined: September 9th, 2016, 3:47 am

Foreign Exchange and Related Derivatives

June 13th, 2018, 2:40 pm

I am looking for book on Foreign Exchange and Related Derivatives.
I would appreciate it if you could suggest some book.
 
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frolloos
Posts: 1566
Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Re: Foreign Exchange and Related Derivatives

June 13th, 2018, 3:17 pm

Good book on foreign exchange in particular, and derivatives pricing techniques in general.
 
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Paul
Posts: 8688
Joined: July 20th, 2001, 3:28 pm

Re: Foreign Exchange and Related Derivatives

June 13th, 2018, 3:52 pm

I did once skim through some FX derivatives book (not the one in the link) mentally changing every reference to “foreign interest rate” to “dividend yield.” And I found I was then reading an equity derivatives text book. And the moral of the story is? Something about marketing.
 
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bearish
Posts: 3905
Joined: February 3rd, 2011, 2:19 pm

Re: Foreign Exchange and Related Derivatives

June 14th, 2018, 1:14 am

I used to do this stuff, but it has been a long time. That being said, I think Uwe Wystup's book is worth a look. And I don't deeply disagree with Paul in this case, although the set of basic traded instruments is a bit different in the FX market.
 
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agnoatto
Posts: 24
Joined: November 23rd, 2011, 8:12 am

Re: Foreign Exchange and Related Derivatives

June 28th, 2018, 2:33 pm

The book by Clark is good. There is useful material on FX conventions and construction of vol surfaces.
Prof Alessandro Gnoatto, PhD
Department of Economics
University of Verona
Via Cantarane 24 - 37129 Verona - Italy
37129, Verona, Italy
 
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Collector
Posts: 3957
Joined: August 21st, 2001, 12:37 pm

Re: Foreign Exchange and Related Derivatives

November 6th, 2018, 11:01 pm

DeRosa's book is also good classic for basic FX options. I remember he came down from Yale to the Hedge Fund Capital to meet me and Taleb...(looong time ago)

The best book to learn FX options is to sit next to someone managing a book of FX options. And size matters, demand and supply for options themselves, you cannot delta hedge away all the risk all the time....not even close to...

what about Dynamic Hedging Taleb, quite some FX there, and yes not so different from equity..

and yes Wystup's
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