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Currency Derivatives


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Table of Contents

Partial table of contents: Foreign Exchange and Its Related Derivative Instruments (D. DeRosa). FORWARDS AND FUTURES CONTRACTS ON FOREIGN EXCHANGE. Forward and Futures Contracts on Foreign Exchange (D. DeRosa). CURRENCY OPTION PRICING MODELS. Foreign Currency Option Values (M. Garman & S. Kohlhagen). Efficient Analytic Approximation of American Option Values (G. Barone-Adesi & R. Whaley). CURRENCY FUTURES OPTIONS PRICING MODELS. The Pricing of Commodity Contracts (F. Black). On Valuing American Futures Options (R. Whaley). IMPLIED VOLATILITY IN CURRENCY DERIVATIVES. The Term Structure of Volatility Implied by Foreign Exchange Options (X. Xu & S. Taylor). JUMP PROCESS AND STOCHASTIC VOLATILITY MODELS FOR CURRENCY DERIVATIVES. On Jump Processes in the Foreign Exchange and Stock Markets (P. Jorion). BARRIER, BINARY, AND AVERAGE CURRENCY OPTIONS. On Pricing Barrier Options (P. Ritchken). One-Touch Double Barrier Binary Option Values (C. Hui). Pricing European Average Rate Currency Options (E. Levy). QUANTOS OPTIONS AND EQUITY WARRANTS WITH SPECIAL CURRENCY FEATURES. The Perfect Hedge: To Quanto or Not to Quanto (C. Piros). Index.

About the Author

DAVID F. DeROSA is President of DeRosa Research and Trading, Inc. and Adjunct Professor of Finance at Yale School of Management. He is a contributing editor for global investment strategy for the Internet newsletter DeRosa has been active in hedge fund management, currency trading, and institutional brokerage for over twenty years. He holds a PhD from the Graduate School of Business of the University of Chicago and an AB from the University of Chicago. He is the author of two highly regarded books on foreign exchange, Managing Foreign Exchange Risk and Options on Foreign Exchange.

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