List of Figures
Figure 1.1 Dates of importance for FX trading
Figure 2.1 Payout function VT for European call
Figure 2.2 Payout function VT for European put
Figure 2.3 Payout function VT for European forward
Figure 2.5 Leptokurtic likelihood ratio: Pearson VII(1000) relative to N(0, 1)
Figure 3.1 Vd;pips value profile for delta-neutral straddle (T = 1.0, K = 1.3620)
Figure 3.2 Vd;pips value profile for 25-delta market strangle (call component) (T = 1.0, K = 1.5449)
Figure 3.3 Vd;pips value profile for 25-delta market strangle (put component) (T = 1.0, K = 1.2050)
Figure 3.4 Schematic illustration of the smile strangle
Figure 3.5 Schematic illustration of the market strangle
Figure 3.6 Highly skewed smile (1Y USDJPY)
Figure 4.3 Upper and lower bounds for interpolated volatility term structure
Figure 4.4 Intraday forward volatility mask for EURUSD
Figure 5.1 Sample local volatility
Figure 6.1 Increasing dispersion of a driftless variance process reduces σATM
Figure 6.2 Initial probability distribution for the forward Fokker–Planck equation
Figure 6.3 Interim probability distribution from the forward Fokker–Planck ...