This edition first published 2015
© 2015 Jessica James, Jonathan Fullwood and Peter Billington
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Library of Congress Cataloging-in-Publication Data
James, Jessica, 1968–
FX option performance: an analysis of the value delivered by FX options since the start of the market / Jessica James, Jonathan Fullwood, Peter Billington.
pages cm. – (The wiley finance series)
Includes index.
ISBN 978-1-118-79328-2 (hardback) 1. Options (Finance) I. Fullwood, Jonathan, 1976– II. Billington, Peter, 1948– III. Title.
HG6024.A3J355 2015
332.64′53–dc23
2015001988
A catalogue record for this book is available from the British Library.
ISBN 978-1-118-79328-2 (hbk) ISBN 978-1-118-79326-8 (ebk)
ISBN 978-1-118-79327-5 (ebk) ISBN 978-1-118-79325-1 (ebk)
Cover Design: Wiley
Top Image: ©iStock.com/Maxiphoto
Bottom Image: Gears ©iStock.com/Marilyn Nieves
Business Graph: ©iStock.com/kickimages
Certain figures and tables compiled from raw data sourced from Bloomberg
Prof Jessica James
Jessica James is a Managing Director and Head of FX Quantitative Solutions at Commerzbank AG in London. She has previously held positions in foreign exchange at Citigroup and Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. Her significant publications include the Handbook of Foreign Exchange, Interest Rate Modelling and Currency Management.
Jessica is a Managing Editor for the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. She is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.
Dr Jonathan Fullwood
Jonathan Fullwood began his career in finance in 2002 and has since held positions in research, sales and trading at Commerzbank AG in London. He was awarded a CFA charter in 2007 and remains a member of the CFA Institute.
Before his career in finance he graduated with first class honours in physics from the University of Manchester, where he also worked as a mathematics tutor. Jonathan completed his particle physics doctoral thesis in 2001, on work carried out at the Stanford Linear Accelerator Centre.
Peter Billington
Peter Billington is Global Head of FX Exotic Options at UniCredit in London. Since 1993 he has worked in FX option trading roles for Standard Chartered Bank and BNP Paribas and has traded metals for Dresdner Kleinwort Wasserstein. He has also worked at Commerzbank AG in several positions, including that of Global Head of FX Trading.
