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Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity, Second EditionPricing Foreign Exchange Options: Incorporating Purchasing Power Parity, Second Edition

Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity, Second Edition - David W. K. Yeung and Michael Tow Cheung - 文宇宙|Bookniverse

Pricing Foreign Exchange Options: Incorporating Purchasing Power Parity, Second Edition

David W. K. Yeung and Michael Tow Cheung
US $7.20
US $9.00
publisher date
Sun Feb 01 1998 00:00:00 GMT+0000 (Coordinated Universal Time)
|
isbn
9789882202535
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book format
PDF
|
publisher name
Hong Kong University Press
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書籍簡介

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Business & Finance > Investment
This book develops a new and interesting approach to the valuation of foreign exchange options. The authors synthesise international monetary theory with the Samuelson-Black-Scholes insight that assets prices follow diffusion processes, and obtain a system of stochastic differential equations to model exchange rate dynamics under the influence of purchasing power parity. An exact formula to price foreign currency options is obtained, which incorporates the influence of its purchasing power parity. The book is essential to advanced undergraduate and graduate students who wish to learn about the modern theory of foreign exchange options. Since its results are completely operational, the book will also prove to be invaluable for practitioners in the financial markets.

作者簡介

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David W. K. Yeung and Michael Tow Cheung
David W.K. Yeung received his Ph.D. from York University. He has been a visiting assistant professor at Queen s University, assistant professor at York University, associate professor at the University of Windsor, and senior fellow and senior lecturer at the National University of Singapore. He is currently an associate professor at the School of Economics and Finance, the University of Hong Kong. He has published over fifty academic articles on economics, finance and operations research. He is also the editor of International Game Theory Review. Michael Tow Cheung received his Ph.D. from the London School of Economics, University of London. He has been a Nuffield Fellow, Research Fellow at the Centre for Banking and International Finance, City University (London), visiting associate professor at Simon Fraser University, and visiting senior fellow at Nanyang Technological University Business School. He is currently an associate professor at the School of Economics and Finance, the University of Hong Kong, and assistant editor of Asian Economic Journal

出版社簡介

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Established in 1956, and part of the University of Hong Kong, Asia’s most prominent English-speaking university, HKU Press publishes more than 30 new titles annually, with a growing proportion (more than 25%) in Chinese. Building on Hong Kong's unique global position, HKU Press books examine, critique, and celebrate Asia’s place in the world. We have gained particular renown for publications in Chinese history and culture, law, public health, social work, film/media studies, art and architecture/urban planning.

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