David F. DeRosa’s Options on Foreign Exchange, 3d ed. (Wiley, 2011) is a book for quants (or perhaps more precisely quantlets), which means that I’m ill equipped to review it in a meaningful way. Instead, I’ll simply outline its contents to give a heads up to anyone who is interested in trading forex options either speculatively or as a hedger and who doesn’t have an aversion to plowing through lots of equations, most of which are admittedly pretty straightforward.
After some basics about the foreign exchange market and options, the author moves on to the meat of the book: valuation of European currency options, European currency option analytics, volatility, American exercise currency options, currency futures options, barrier and binary currency options, advanced option models, and non-barrier exotic currency options.
There’s far more prose than math, and the prose is clear.
And, with that, I’ll abruptly end this post with my sincere apologies to the author. He deserved much better.