FX Derivatives Trader School

THE ESSENTIAL GUIDE TO FX DERIVATIVES TRADING

Successful traders have a combination of mathematical aptitude, the ability to work quickly and accurately under pressure, and keen risk management skills. Derivatives traders also need to understand the framework in which they are operating. FX Derivatives Trader School + Website offers FX derivative traders at all levels of expertise a hands–on guide to the technical skills and practical knowledge required in order to thrive in this dynamic environment.

The text starts by explaining simple FX derivative products and gradually increases the complexity through standard exotic products right through to advanced multi–asset and volatility–based products. There are also Excel practicals which implement ideas from the text, hence building vital real–world skills. Completed practicals are available on the companion website.

Offering something for everyone from students to novice traders to experienced professionals, FX Derivatives Trader School is sure to become a common sight on trading floors everywhere.

Preface

Acknowledgments

Part I: The Basics

Chapter 1: Introduction to Foreign Exchange

Chapter 2: Introduction to FX Derivatives

Chapter 3: Introduction to Trading
Practical A: Building a Trading Simulator in Excel

Chapter 4: FX Derivatives Market Structure

Chapter 5: The Black–Scholes Framework
Practical B: Building a Numerical Integration Option Pricer in Excel

Chapter 6: Vanilla FX Derivatives Greeks
Practical C: Building a Black–Scholes Option Pricer in Excel

Chapter 7: Vanilla FX Derivatives Pricing

Chapter 8: Vanilla FX Derivatives Structures

Chapter 9: Vanilla FX Derivatives Risk Management

Chapter 10: Vanilla FX Derivatives Miscellaneous Topics
Practical D: Generating Tenor Dates in Excel

Part II: The Volatility Surface

Chapter 11: ATM Curve Construction
Practical E: Constructing an ATM Curve in Excel

Chapter 12: Volatility Smile Market Instruments and Exposures
Practical F: Constructing a Volatility Smile in Excel

Chapter 13: Probability Density Functions
Practical G: Generating a Probability Density Function from Option Prices in Excel

Part III: Vanilla FX Derivatives Trading

Chapter 14: Vanilla FX Derivatives Trading Exposures

Chapter 15: Vanilla FX Derivatives Trading Topics

Chapter 16: ATM Volatility and Correlation

Chapter 17: FX Derivatives Market Analysis

Part IV: Exotic FX Derivatives

Chapter 18: Exotic FX Derivatives Pricing

Chapter 19: FX Derivatives Pricing Models

Chapter 20: Exotic FX Derivatives Product Classification

Chapter 21: European Digital Options

Chapter 22: European Barrier Options

Chapter 23: Touch Options

Chapter 24: American Barrier Options

Chapter 25: Exotic FX Derivatives Trading Topics

Chapter 26: Window and Discrete Barrier Options
Practical H: Building a Monte Carlo Option Pricer in Excel

Chapter 27: Vanilla Variations

Chapter 28: Accrual and Target Redemption Options

Chapter 29: Asian Options

Chapter 30: Multi–Asset Options

Chapter 31: Miscellaneous Options

Further Reading

About the Companion Website

Index

GILES JEWITT is the Head of FXO Automated Trading and eRisk for HSBC in London. He has worked on FX Options Trading desks in London and Hong Kong for over a decade, trading the full range of FX Option products.