Edward_Philips的博客

这是一本金融方面的详细讲解回购(re-purchasing)知识的书籍

讲述几种常见的ALGO以及ALGO将来的发展趋势

Treasury management of international corporates involves dealing with cash flows in different currencies. Therefore the natural service of an investment bank consists of a variety of money market and foreign exchange products. This book explains the most popular products and strategies with a focus on everything beyond vanilla options. The book explains all the FX options, common structures and tailor-made solutions in examples with a special focus on their application with views from traders and sales as well as from a corporate client perspective. The book contains actual traded deals with corresponding motivations explaining why the structures have been traded. This way the reader gets a feel for how to build new structures to suit clients’ needs. Several sections deal with the quantitative aspect of FX options, such as quanto adjustment, deferred delivery, traders’ rule of thumb and settlement issues. One entire chapter is devoted to hedge accounting, after which the foundations of a typical structured FX forward are examined in a case study. The exercises are meant as practice. Several of them are actually difficult to solve and can serve as incentives to further research and testing. Solutions to the exercises are not part of this book. They will, however, be published on the web page for the book, fxoptions.mathfinance.com.

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