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Informationen zum Autor David F. DeRosa is President of DeRosa Research and Trading, Inc., a firm that conducts research into derivatives pricing, macroeconomics, monetary policy, and foreign exchange. He is an adjunct associate professor of finance at the Fu Foundation School of Engineering and Applied Science at Columbia University where he teaches courses in pricing models in financial engineering. David sits on the boards of several prominent hedge fund groups. He is the author of many books including Options on Foreign Exchange (Wiley), Central Banking and Monetary Policy in Emerging-Markets Nations , and In Defense of Free Capital Markets . David received his PhD in finance and economics from the Graduate School of Business of The University of Chicago, and his BA in economics from the College of The University of Chicago. Before founding DeRosa Research, he worked on Wall Street as a foreign exchange trader, hedge fund trader, and portfolio manager. Klappentext The ultimate nuts-and-bolts guide to foreign exchange operationsThe foreign exchange landscape is particularly risky since so much of the world is unregulated and takes place over the counter (off exchange). Brilliant traders and money managers who are profitable may find themselves underperforming, or worse, losing, simply because they failed to establish strong operations. In this book, David DeRosa provides industry players with everything they need for strong operational functions from all the types of trades to execution, master trading agreements, documentation, settlement, margin and collateral, and prime brokerage services.* Contains vital work flow solutions for trading in the volatile foreign exchange marketplace* Offers information for mastering the operational aspect of foreign exchange trading to help determine best partners such as prime brokers and others* Written by David DeRosa a leading foreign exchange expert who has consulted to hundreds of financial institutionsForeign Exchange Operations helps traders mitigate risks and offers a guide to all aspects of trading operations from mastering trading agreements to margin documentation. Zusammenfassung The ultimate nuts-and-bolts guide to foreign exchange operations The foreign exchange landscape is particularly risky since so much of the world is unregulated and takes place over the counter (off exchange). Inhaltsverzeichnis Preface xi Acknowledgments xv CHAPTER 1 Introduction to Foreign Exchange 1 Defining Money 1 Participants in the Foreign Exchange Market 2 Identifying Currencies and Exchange Rates 4 Quotation Conventions 5 The Foreign Exchange Market 6 Foreign Exchange Regimes 11 Exchange Rate Controls 12 The Structure of the Foreign Exchange Market 12 Banks' Identification Codes 13 The Authorities 15 Spot Foreign Exchange Deals 17 Profit and Loss on a Simple Trade 18 Value Dates 19 Forward Foreign Exchange and Covered Interest Parity 20 Forward Swaps 21 Non-Deliverable Forwards 22 Summary 22 Appendix 1.1: ISO Currency Codes 23 References 34 CHAPTER 2 Options on Foreign Exchange 35 Option Basics 35 Put-Call Parity 37 The Importance of Option Models 39 Risk Parameters 41 The Minor Greeks 44 More on Delta 45 Portfolios of Options 50 American Exercise Models 51 Volatility 52 Important Option Strategies 55 Option Market Making 56 Non-Deliverable Options 56 Barrier Options 58 Binary Options 65 Barrier Determination Agency 69 Other Exotic Options 70 More on Option-Related Risks 70 Summary 72 Appendix 2.1: Further Comments on Put-Call Parity 72 Appendix 2.2: Black-Scholes-Merton Model 74 Appendix 2.3: Barri...
