Fx Barrier Options ― A Comprehensive Guide for Industry Quants

Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded in large volumes as stand-alone contracts in the FX options market, and are second only to vanilla options, representing a huge portion of this trillion dollar market. Structured products in FX commonly include barrier features, and in order to analyse the effect these features have on the overall structured product, it is important first to understand how individual barrier options work.

This book takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It will derive, demonstrate and analyse a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation and risk-management models across a range of scenarios. Coverage will include:

Dr Zareer Dadachanji is a quantitative analysis consultant with nearly two decades of corporate experience, mostly in financial quantitative modelling across a range of asset classes. He spent 13 years working as a front-office quant at banks and hedge funds, including NatWest/RBS, Credit Suisse and Standard Chartered Bank, where until recently he held the position of Global Head of FX Quants.

Zareer's specialist areas of expertise are the modelling of FX and Equity derivatives. He combines these specialist areas with a wide knowledge of general quantitative modelling, gained through years of senior-level engagement in the activities of global cross-asset quant teams. Zareer is the founder and director of Model Quant Limited, an independent consultancy providing bespoke financial quantitative analysis solutions. He holds a triple first in Natural Sciences and a PhD in Computational and Theoretical Physics, both from the University of Cambridge.