New answers tagged reference-request
Royden's "Real Analysis" is a standard textbook for a first year grad course in Real Analysis. It covers all the integration topics nicely. A more stochastically oriented book would be "Probability with Martingales" by Williams, which covers integration as well.
The way the FX market prices is to get a baseline mid price and then apply skew(s) and spread(s). So the answer to your question is no. As for references, the way the FX market works is that liquidity in currency pairs is pushed either to EBS or Reuters. That's so that there isn't a monopoly on prices. For example, the most trading in the EURUSD takes place ...
Personally, I prefer the book Foreign Exchange Option Pricing by Iain Clark and the book FX Options and Smile Risk by Antonio Castagna. The book FX Options and Structured Products by Uwe Wystup is also good.
I think that is coming from the bond market where there in the past has been the idea of "marking to the bid". People would usually ask for a two-way-market and most of the time they would be expecting that the bid would be hit. With FX data you are looking at actionable markets so they are all good.
Trades in the US can just go to the tape (the ADF). This is common with certain block trades and certain trades linked to derivatives. There is a flag on those trades to let you see that they are "average priced trades" or "derriv linked trades"...
Financial markets & Corporate Strategy - Grinblatt & Titman The book is very intuitive, but as a consequence less comprehensive than ex. Options, Futures, and other Derivatives by Hull (which is seen as the basic foundation of everything quant in some parts of the industry.) A great entry level book to finance, and is publically avaliable here: ...
If I had to give only one title this would be it: FT Guide to Understanding Finance by J. Estrada (Second Edition published 2011) It explains all of the above concepts (and more) in a very accessible, yet mathematically correct manner. A sample can be found: Here The only thing is that it is not really short (the first part, i.e. up to p. 150, is ...
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