FX EXOTIC OPTIONS
Readings
Efficient Simulation of the Heston Stochastic Volatility Model
Dealing with dangerous digital
Efficient Computation of Option Price Sensitivities for Options of American Style
Efficient Computation of Option Price Sensitivities using Homogeneity
and other tricks
How the Greeks would have hedged correlation risk of foreign exchange
options
The market price of one-touch options
Valuation of Options in Heston's Stochastic Volatility Model using Finite
Element Methods
Please click below for weblink to suggested pre-course reading:
FX Risk Book, Jürgen Hakala and Uwe Wystup
Please click below for link to suggested FX text in the Wiley Finance series:
Sharma: Foreign Exchange Primer
Other suggested reading:
Hull, John: Options, Futures and Other Derivative Securities (Prentice Hall 2005)
Following the course further readings will be available from LFS library
If you don't already have it, get the reader here:
