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  • There has been an explosive growth in the number of corporates, investors and financial institutions turning to structured products to achieve cost savings, risk controls and yield enhancements. However, the exact nature, risks and applications of these products and solutions can be complex, and problems arise if the fundamental building blocks and principles are not fully understood. This book explains the most popular products and strategies with a focus on everything beyond vanilla options, dealing with these products in a literate yet accessible manner, giving practical applications and case studies.

    A special emphasis on how the client uses the products, with interviews and descriptions of real-life deals means that it will be possible to see how the products are applied in day-to-day situations – the theory is translated into practice.

    More than 4000 copies sold!

    Take a look inside: Table of contents and sample sections

  • FX Options and Structured Products
    Uwe Wystup
    ISBN: 0-470-01145-9
    344 pages
    November 2006
    Current price: €78.00

    Can also be ordered at Wiley


Tamas Korchmaros, Credit Suisse, Structured FX and Treasury Products

An excellent reference for the most widely used options and option strategies. It gives a great overview of the products and goes further for those who are interested in the quant side.


Please send me any errors you can find. I will use your valuable feedback for the second edition.
  • In section 1.4 on the basic strategies containing vanilla options, I give examples of the various strategies along with profit graphs. In the tables that illustrate the strategy with actual numbers, the currency pair is EUR-USD and the premiums are given in EUR. However, in the profit diagrams, the premium amount is actually in USD.

    For example, in section 1.4.5 on the Strangle, from Table 1.15 a EUR 1,000,000 notional is used and the premium given as EUR 40,000. If we focus on the call strike of 1.2000 EUR-USD, the profit diagram in Figure 1.14 shows that we break even at an spot rate at maturity of 1.2400 EUR-USD. If this were the case, we would be buying EUR 1,000,000 @ 1.2000 for a cost of USD 1,200,000 but it would be worth EUR 1,000,000 * 1.2400 = USD 1,240,000. For this to be our breakeven, the premium we paid must have been USD 40,000 and not EUR 40,000.

    The same situation appears in the other strategies given in section 1.4. Thank you, David Bannister for pointing this out to me.
  • page 36, section 1.4.6 Butterfly: A long Butterfly is a combination of a long straddleand a short strangle. Figure 1.15 shows the profit of a long Butterfly. Thank you, Anupam Banerji (Equities (IT), Credit Suisse, Sydney, Australia) for pointing out to me that the way it is written is confusing. However, there is still a dispute in the market about the notion of long and short butterflies (I think). I like to think of a long Butterfly as betting on market activity.
  • page 51, equation (1.120), gamma of the one-touch. In the last two lines, the e+ and the e-are divided by tau. They should be divided by (2 tau). Thank you, Sven Foulon and Yanhong Zhao, for pointing this out. Yanhong produced a corrected formula in pdf.
  • page 64, formula (1.185) for the instalment: The put-call indicators phii have to be also in front of all the ratios inside the normal cdfs. The index i should match the index of t. Thank you, Searle Silverman, for pointing this out to me.
  • page 87, the second "Asymmetric power option" section title should be "Symmetric power option". Thank you, Harold Cataquet, for pointing this out to me.
  • Section 1.5.5 on lookback options has a better presentation in the new versionby Andreas Weber and Uwe Wystup, contributed to Wiley's Encyclopedia of Quantitative Finance. In particular, the spot reference in Table 1.24 is 0.9800 rather than 0.8900.
  • page 11, table 1.4, the word "call" is written twice. It should be "1y EUR call USD put". Thank you, Josua Mueller, for pointing this out to me.
  • page 9, 2nd paragraph DKK instead of DKR
  • page 221, second to last line: Offer Price is 26.75% rather than 36.75%
  • pp 94--95 on the FX quanto drift adjustment: The notation of the angles in Figure 1.45 and the corresponding equations are not consistent. A revised version can be found in this paper. Thank you, Daniele Moroni, Allan Mortensen, Jean-Yves Sireau, for pointing this out to me.


The solutions are not ready, work is in progress, sorry about any inconvenience. Please do not send me enquiries about the status of the solutions manual as these enquiries actually prevent me from producing them. Please check this web page for information. I will not keep it secret when I am done. Here is what I propose: if you are interested in a particular problem and want to speed up the production of written solutions, please make a donation to Gandhi-Kinderhilfe, let me know and I will work out the solution of the problem you need and include it in the solution manual. You may wish to be mentioned in the list of donors or stay anonymous.
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