INTRODUCTION:
Foreign Exchange and Its Related Derivative Instruments
David F. DeRosa
PART ONE: FORWARDS AND FUTURES CONTRACTS
ON FOREIGN EXCHANGE
Chapter 1: The Relation between Forward Prices
and Futures Prices
John C. Cox, Jonathan E. Ingersoll, Jr., and Stephen A. Ross
Chapter 2: Forward and Futures Contracts on Foreign Exchange
David F. DeRosa
Chapter 3: Forward and Futures Prices: Evidence from the Foreign
Exchange Markets
Bradford Cornell and Marc R. Reinganum
PART TWO: CURRENCY OPTION PRICING MODELS
Chapter 4: Foreign Currency Option Values
Mark B. Carman and Steven W . Kohlhagen
Chapter 5: Valuing Foreign Exchange Rate Derivatives
with a Bounded Exchange Process
Jonathan E. Ingersoll, Jr.
Chapter 6: Efficient Analytic Approximation of American
Option Values
Giovanni Barone-Adesi and Robert E. Whaley
Chapter 7: A Simple Technique for the Valuation and Hedging
of American Options
T. S. Ho, Richard C. Stapleton, and Marti G. Subrahmanyam
PART THREE: CURRENCY FUTURES OPTIONS
PRICING MODELS
Chapter 8: The Pricing of Commodity Contracts
Fischer Black
Chapter 9: On Valuing American Futures Options
Robert E. Whaley
PART FOUR: IMPLIED VOLATILITY IN CURRENCY
DERIVATIVES
Chapter 10: The Magnitude of Implied Volatility Smiles:
Theory and Empirical Evidence for Exchange Rates
Stephen J. Taylor and Xinzhong Xu
Chapter 11: The Term Structure of Volatility Implied
by Foreign Exchange Options
Xinzhong X u and Stephen J. Taylor
PART FIVE: JUMP PROCESS AND STOCHASTIC
VOLATILITY MODELS FOR CURRENCY DERIVATIVES
Chapter 12: Dollar Jump Fears, 1984-1992: Distributional
Abnormalities Implicit in Currency Futures Options
David S. Bates
Chapter 13: On Jump Processes in the Foreign Exchange
and Stock Markets
Philippe Jorion
Chapter 14: Pricing European Currency Options:
A Comparison of the Modified Black-Scholes Model
and a Random Variance Model
Marc Chesney and Louis Scott
PART SIX: BARRIER, BINARY, AND AVERAGE
CURRENCY OPTIONS
Chapter 15: On Pricing Barrier Options
Peter Ritchken
Chapter 16: Pricing and Hedging Double-Barrier Options:
A Probabilistic Approach
Helyette Geman and Marc Y o r
Chapter 17: One-Touch Double Barrier Binary Option Values
Cho H. Hui
Chapter 18: Pricing European Average Rate Currency Options
Edmond Levy
PART SEVEN: QUANTOS OPTIONS AND EQUITY
WARRANTS WITH SPECIAL CURRENCY FEATURES
Chapter 19: Understanding Guaranteed Exchange-Rate Contracts
in Foreign Stock Investments
Emanuel Derman, Piotr Karasinski, and Jeffrey S. Wecker
Chapter 20: The Perfect Hedge: To Quanto or Not to Quanto
Christopher D. Piros, Ph.D.
Chapter 21: Pricing Foreign Index Contingent Claims:
An Application to Nikkei Index Warrants
Ajay Dravid, Matthew Richardson, and Ton-sheng Sun