You have heard of Taleb's (1996)
book Dynamic Hedging? This is similar, but for foreign exchange. It
has terminology, market conventions, rules of thumb and basic pricing
models. It exhaustively covers instruments, including exotics and structured
products. The book is best if you already trade, since it is hard to
look at the "left hand side of your Fenics screen" if you don't have a
Fenics screen (no screen shot provided). The writing is
cryptic at points and the English broken, but no book puts you inside
the head of an FX options trader like this one ...
Foreign Exchange Risk Models, Instruments and Strategies
Jürgen Hakala and Uwe Wystup
The literature on
derivatives pricing has long been dominated by academics, but we are now
starting to see full-length books written by practitioners. Examples are
Brockhaus, et. al. (1999)
and James and Weber (2000).
To date, results have been outstanding. Practitioners write with the
same technical sophistication as academics, but ...
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Mathematical Methods for
Foreign Exchange
Alexander Lipton worked as a
financial engineer at Bankers Trust. His book is an introduction to
financial engineering focusing on foreign exchange. It is mathematically sophisticated but will skip proofs
where convenient. Topics include financial
fundamentals, European options, American options, path dependence,
non-constant volatility and market frictions. Hakala and Wystuo (2002),
by comparison, is more practical and broader, considering numerical
methods, structuring and hedging issues. For FX financial engineering,
read both ...
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