FX options and smile risk
"This book is a unique guide to running an FX options book from a market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures." "Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools t…
Read More ↓Title Statements
- Full title :FX options and smile risk / Antonio Castagna.
Summary
"This book is a unique guide to running an FX options book from a market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures." "Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment. The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity."--BOOK JACKET.
Read More ↓Edition Statements
- Publication Date:©2010.
Publication Statements
- Publisher(s):Wiley
- Place of Publication:Chichester
- Language:eng
- Publication Date:©2010.
The Physical Object
- Description:xv, 304 pages ; : 25 cm +
Edition Identifiers
- ISBN:9780470754191, 0470754192
- oclc:ocn877630645
- LC Classification:HG3853
- Dewey Decimal:332.45
Table of Contents
1. The FX market -- 2. Pricing models for FX options -- 3. Dynamic hedging and volatility trading -- 4. The Vvolatility surface -- 5. Plain vanilla options -- 6. Barrier options -- 7. Other exotic options -- 8. Risk management tools and analysis -- 9. Correlation and FX options.
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