Re: fx derivatives book

Posted by Choon-Peng Toh on Jul 11, 2002; 9:42am
URL: http://quantlib.414.s1.nabble.com/fx-derivatives-book-tp2108p2114.html

Hi,
I think Lipton's book is great for quants but if you need something that
will get you started with model implementation as quickly as possible, the
RISK book "Foreign Exchange Risk" is a good resource.

Choon Peng Toh
Head of FX Derivatives Research
Bank of America
Chicago

>From: Ferdinando Ametrano <[hidden email]>
>To: "Ilja Chagalov" <[hidden email]>,  
><[hidden email]>
>Subject: Re: [Quantlib-users] fx derivatives book
>Date: Thu, 11 Jul 2002 16:13:11 +0200
>
>Hi all
>
>I know there have been a few unanswered questions lately, I will do my best
>to catch up in the next days.
>
>Ilja Chagalov wrote:
>>Can anybody recommend me a good book about foreign exchange derivatives?
>>The main criterion for me is it's practical usefullness: it should contain
>>details, which are relevant for software implementation.
>I've been told "Mathematical Methods For Foreign Exchange: A Financial
>Engineer's Approach"
>by Alexander Lipton  is great and I'll plan to buy it, I'll post something
>here when I'll have it.
>There are also 1/2 Risk books but I don't know if they're worth the money.
>Anybody?
>
>ciao -- Nando
>
>
>
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