Pricing in theory
The mathematics of spot, forward and options
Financial Mathematics 37301
Outline: Pricing in theory
Spot prices and spot contracts
Interest rates
Forward contracts
Calculating value
Pricing
FX swap contracts
Calculating value
Pri
Part #2a
Pricing in practice: Spot and Forward
Financial Mathematics 37301
Pricing in Practice Outline
Spot rates and spot contracts
Money market rates
Forward rates and forward contracts
Futures
Non-deliverable forwards (NDF)
Foreign exchange swaps
13 February 2012
Fixed Income Research
http:/www.credit-suisse.com/researchandanalytics
FX Vol Strategist
FX Strategy
Research Analysts
Aditya Bagaria
+44 20 7888 7428
[email protected]
Baron Chan
+44 20 7883 4188
[email protected]
31 May 2012
Fixed Income Research
http:/www.credit-suisse.com/researchandanalytics
Equilibrium Exchange Rates
International
Research Analyst
Baron Chan
+44 20 7883 4188
[email protected]
FX Strategy
Credit Suisse Fair Value 2012
In our 2012 Cre
FX Strategy
Global Markets Research
Deutsche [email protected]
13 March, 2007
Currency Markets: Is Money Left On
the Table?
Table of Contents
The Puzzle . 2
Section A: The Technical
Part. 2
Section B: The Tribes of
Currency Markets. 3
Section C: Quantifying
the Sizes
FINM 37301 Foreign Exchange
Week #2 Problem Set
Page 1
[Note: This problem set starts with #8. Problems #1-7 comprised the previous weeks assignment.]
8. A trader has the following position, buying CHF 252.30 million versus USD at 1.0125. If the current U
Foreign Exchange: Markets, Products, and Pricing
Spring Quarter 2017
Financial Mathematics 37301
Course information
Major Topics:
FX products: spot, forwards, swaps, options
Ordering of concepts:
1) Pricing in theory
2) Pricing in practice
3) The marke
FINM 37301 Foreign Exchange
Syllabus
Lectures
Mondays 6:30-9:30pm
Five lectures, starting March 27
Primary readings are the lecture notes, arranged in three parts
Part 1: Pricing in theory, the mathematics of spot, forward and options
Part 2: Pricing in p
FINM 37301 Foreign Exchange
Week #1 Problem Set (Corrected 3/28/17)
Page 1
1. Consider an FX spot contract to receive 100 million British pounds in exchange for Euros at a rate of
1.1250. (The contract rate is described in terms of British pounds.) Assume
Financial Mathematics 33000
Lecture 3
Roger Lee
2016 October 12
L3.2
Stochastic processes in continuous time
It
o integrals
It
os rule/lemma/formula
Stochastic processes in continuous time
It
o integrals
It
os rule/lemma/formula
L3.3
Filtrations
I
Recall:
FINM 33000: Homework 2
Due October 12, 2016
Problem 1
Let f : (0, ) R be twice continuously differentiable.
(a) Prove that for any K > 0 and any s > 0,
f (s) = f (K ) + f 0 (K )(s K ) +
Z
K
f 00 (K)(K s)+ dK +
0
Z
f 00 (K)(s K)+ dK.
K
Hint: First consider
FINM 33000: Homework 1 Solutions
TA: Hongcen Wei
September 29, 2016
Problem 1
Recall from L1.25 the diagram of the payoff of a call spread, long a standard call struck at K1 ,
and short a standard call struck at K2 > K1 . If we scale this call spread by 1
FINM 33000: Homework 1
Due Wednesday, October 5, 2016, 6:30pm Chicago time.
Submit via Chalk
Notation: Lx.y refers to Lecture x, Slide y.
Problem 1
Assume that discount bonds maturing at T have time-0 price 0.95 per unit. Assume that T -expiry
standard (p
Financial Mathematics 33000
Lecture 2
Roger Lee
2016 October 5
L2.2
One period, two states
The Fundamental Theorem
FAQs
One-period, more discrete states
Multi-period, more discrete states
One period, two states The Fundamental Theorem FAQs One-period, mor
Financial Mathematics 33000
Lecture 1
Roger Lee
2016 September 28
L1.2
Introduction
General properties of arbitrage-free prices
General properties of forwards and options
Introduction
General properties of arbitrage-free prices
General properties of forwa
Financial Mathematics 33000
Lecture 1
Roger Lee
2016 September 28
L1.2
Introduction
General properties of arbitrage-free prices
General properties of forwards and options
Introduction
General properties of arbitrage-free prices
General properties of forwa
FINM 33000 Homework 2 Solutions
Triwit Ariyathugun
October 13, 2016
Problem 1
+
(a) When s > K? , (K s)
= 0 for all K < K? , so the first integral vanishes. Additionally, because
+
(s K) = 0 for all K > s, the upper limit of integration on the last RHS te
Financial Mathematics 33000
Lecture 4
Roger Lee
2016 October 19
L4.2
Arbitrage in continuous time
Black-Scholes model
B-S formula via replication
Delta, Gamma, Theta
Arbitrage in continuous time
Black-Scholes model
B-S formula via replication
Delta, Gamma
Financial Mathematics 33000
Lecture 2
Roger Lee
2016 October 5
L2.2
One period, two states
The Fundamental Theorem
FAQs
One-period, more discrete states
Multi-period, more discrete states
One period, two states The Fundamental Theorem FAQs One-period, mor