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Options on Foreign Exchange (Wiley Series in Financial Engineering)
ISBN: 0471316415     Date Published: 2000-01-18     Author(s): David F. DeRosa
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240 Pages
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06/20/2013 01:26:42
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Editorial Review - Book Description:
Your A to Z Guide to the World`s Largest Option Market `A clearly written manual that flows smoothly. Whether you have 20 years of experience in the FX options markets or none, you will learn something interesting from reading this book. Highly recommended for both traders and non-traders.` * Adam Kreysar, Global Head FX Options Warburg Dillon Read `DeRosa presents technical material with a minimum of technical fuss. Filtered through his scholarship and practical trading experience, up-to-date topics such as exotic options, forward volatilities, and the volatility smile become accessible. The book will be extremely useful to asset managers and risk managers.` * Allan M. Malz, Partner The RiskMetrics Group `This new edition of Options on Foreign Exchange provides an exhaustive review of the literature on currency options, in addition to covering the practical aspects of the business. It is greatly pedagogical and well written-as can be expected from David DeRosa.` * Nassim Taleb, President Empirica Capital LLC
Customer Review:
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7 of 8 People found the following review helpful.

Non-technical but intuitive, August 18, 2001 By"n-k-k" (Philadelphia, PA, USA) - See all my reviews This review is from: Options on Foreign Exchange (Wiley Series in Financial Engineering) (Hardcover) This book is a nice introduction to the subject. A trader would benefit from reading the text more than a financial engineer would. It may be a good idea to read the author's "Currency Derivatives," as well. People who have read any text at the level of Hull or higher are advised to move on to "Currency Derivatives" directly.
9 of 13 People found the following review helpful.

Good introduction, September 22, 2001 ByBert Smits (Mechelen Belgium) - See all my reviews This review is from: Options on Foreign Exchange (Wiley Series in Financial Engineering) (Hardcover) Mr De Rosa has written a well structured introduction into the forex option market. The clear examples and the pleasant writing style make it an easy read (two nights, tops!). Starting by showing the reader an EBS dealing screen, he explains the price setting using the Black-Scholes model. A bit more explanation might have been in order on how the interbank market really works in practice (volatility runs for ATMS Straddles, market making, etc...). The section on exchange traded options and futures is interesting for readers unaware of the important differences with the OTC market. The formulas for the Greeks contain almost no typo's thus making the book useful as a reference for a programmer. The section on barrier options is a bit disappointing. The relationship between higher order derivatives and the volatility smile might not have been out of place (I am referring to the celebrated...
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