Author: Iain J. Clark

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. 


1. Introduction
2. Mathematical Preliminaries
3. Deltas and Market Conventions
4. Volatility Surface Construction
5. Local Volatility and Implied Volatility
6. Stochastic Volatility
7. Numerical Methods for Pricing and Calibration
8. First Generation Exotics - Binary and Barrier Options
9. Second Generation Exotics
10. Multicurrency Options
11. Longdated FX

ISBN: 978-0-470-68368-2
Hardcover. 298 pages.
Language: English. And mathematics.


Available from good booksellers everywhere including:

UK order from or WH Smith.
USA order from, Borders or Barnes and Noble.

EU order from,, etc.
Australia order from Angus and Robertson.
Canada order from or Chapters.
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Japan order from or Junkudo.
Hong Kong order from Paddyfield.
Moon/Mars pre-order from the ISS bookstore.

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UK Publication date: 26 November 2010.
Publication dates in other countries: Early 2011.