FX Option Performance
An Analysis of the Value Delivered by FX Options since the Start of the Market
The FX Option market has grown from humble beginnings in the 1980s to a global behemoth, with hundreds of billions of US dollars worth of flow going through it each trading day. With such size and liquidity, it is generally assumed to be efficient, with few profit opportunities. But astonishingly, this is not so. The authors have taken a completely different attitude to most option studies; instead of looking into the theory of how the products are valued and what they should be worth, they have gone back through the historical data to find out what they actually delivered compared to what they cost. FX Option Performance thus offers a unique…
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Produktdetails
Weitere Autoren: James, Jessica / Billington, Peter
- ISBN: 978-1-118-79326-8
- EAN: 9781118793268
- Produktnummer: 18047061
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2015
- Seitenangabe: 264 S.
- Plattform: PDF
- Masse: 12'469 KB
Über den Autor
JESSICA JAMES is Head of the FX Quantitative Solutions team at Commerzbank in London. She was formerly with Citigroup and held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. JONATHAN FULLWOOD is a Director in FX Quantitative Solutions at Commerzbank in London. He has also worked in fixed income research and portfolio strategy roles. PETER BILLINGTON is Global Head of FX Exotic Option Trading at UniCredit in London. Since 1993 he has worked in FX option trading roles for Standard Chartered Bank and BNP Paribas and been Global Head of FX Trading at Commerzbank.
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