Options on Foreign Exchange -- Contents -- Preface -- What's New to This Edition -- Before You Begin -- Acknowledgments -- CHAPTER 1 Foreign Exchange Basics -- The Foreign Exchange Market -- The International Monetary System -- Spot Foreign Exchange and Market Conventions -- Foreign Exchange Dealing -- Interest Parity and Forward Foreign Exchange -- Departures from Covered Interest Parity in 2007-2008 -- CHAPTER 2 Trading Currency Options -- The Interbank Currency Option Market -- Option Basics -- Listed Options on Actual Foreign Currency -- Currency Futures Contracts -- Listed Currency Futures Options -- CHAPTER 3 Valuation of European Currency Options -- Arbitrage Theorems -- Put-Call Parity for European Currency Options -- The Black-Scholes-Merton Model -- How Currency Options Trade in the Interbank Market -- Reflections on the Contribution of Black, Scholes, and Merton -- CHAPTER 4 European Currency Option Analytics -- Base-Case Analysis -- The "Greeks" -- Special Properties of At-the-Money Forward Options -- Directional Trading with Currency Options -- Hedging with Currency Options -- Appendix 4.1 Derivation of the BSM Deltas -- CHAPTER 5 Volatility -- Alternative Meanings of Volatility -- Some Volatility History -- Construction of the Volatility Surface -- The Vanna-Volga Method -- The Sticky Delta Rule -- Risk-Neutral Densities -- Dealing in Currency Options -- Trading Volatility -- Mixing Directional and Volatility Trading -- Appendix 5.1 Vanna-Volga Approximations -- CHAPTER 6 American Exercise Currency Options -- Arbitrage Conditions -- Put-Call Parity for American Currency Options -- The General Theory of American Currency Option Pricing -- The Economics of Early Exercise -- The Binomial Model -- The Binomial Model for European Currency Options -- American Currency Options by Approximation -- Finite Differences Methods.

CHAPTER 7 Currency Futures Options -- Currency Futures and Their Relationship to Spot and Forward Exchange Rates -- Arbitrage and Parity Theorems for Currency Futures Options -- Black's Model for European Currency Futures Options -- The Valuation of American Currency Futures Options -- The Quadratic Approximation Model for Futures Options -- CHAPTER 8 Barrier and Binary Currency Options -- Single Barrier Currency Options -- Double Barrier Knock-Out Currency Options -- Binary Currency Options -- Contingent Premium Currency Options -- Applying Vanna-Volga to Barrier and Binary Options -- What the Formulas Don't Reveal -- CHAPTER 9 Advanced Option Models -- Stochastic Volatility Models -- The Mixed Jump-Diffusion Process Model -- Local Volatility Models -- Stochastic Local Volatility -- Static Replication of Barrier Options -- Appendix 9.1: Equations for the Heston Model -- CHAPTER 10 Non-Barrier Exotic Currency Options -- Average Rate Currency Options -- Compound Currency Options -- Basket Options -- Quantos Options -- Comments on Hedging with Non-Barrier Currency Options -- Appendix 10.1 Monte Carlo Simulation for Arithmetic Mean Average Options -- Bibliography -- Index.