Index
A
Apel, Thomas
average rate currency options
Kemna and Vorst
Levy's model
Monte Carlo simulation
B
Bank for International Settlements
Bank of England
basket options
implied correlations
BSM valuation
a numerical example
sensitivity to correlation
long and short correlation trading
Barone-Adesi, Giovanni
barrier options
varieties
single barrier
knock options
kick options
binomial model
trinomial model
finite differences
double barrier
Vanna-Volga
Bates, David
Bellalah, M.
binary options
varieties
European
one-touch
stopping time
double barrier binary
continent premium
Vanna-Volga
binomial model
European exercise
general case
barrier options
Black, Fischer
Black-Scholes-Merton model (BSM)
assumptions
diffusion process
local hedge concept
partial differential equation
spot exchange rate formulation
forward exchange rate formulation
delta
gamma
theta
rho
vega
geometry of the model
numerical example
Vanna
Volga
higher-order partials
“Greeks”
Bloomberg, L.P.
Bodurtha, James N.
Bossens, Frederic
Boyle, Phelim P.
Brandimarte, Paolo
Brennan, M.J.
Bretton Woods
Briys, Eric
Bunch, David
C
Campa, Jose Manuel
Carr, Peter
Chaboud, Alain
Chang, Carolyn W.
Chang, Jack K.
Chang, P.H. Kevin
Chesney, M.
Chou, Andrew
Chung, T.K.
compound currency options
put-call parity
compound option model
Cornell, Bradford
Courtadon, Georges
Cox, John, C.
Cox-Ross risk neutral explanation
currency futures
basis
exchange for physical
rollover hedge
variation margin
currency futures options
arbitrage theorems ...
