Antonio Castagna FX Options and Smile Risk

ISBN 13: 9780470754191

FX Options and Smile Risk

Valutazione media 4
( su 2 valutazioni fornite da Goodreads )
 
9780470754191: FX Options and Smile Risk

The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader.

This book is a unique guide to running an FX options book from the 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.

Coverage includes:

  • how the Black-Scholes model is used in professional trading activity
  • the most suitable stochastic volatility models
  • sources of profit and loss from the Delta and volatility hedging activity
  • fundamental concepts of smile hedging
  • major market approaches and variations of the Vanna-Volga method
  • volatility-related Greeks in the Black-Scholes model
  • pricing of plain vanilla options, digital options, barrier options and the less well known exotic options
  • tools for monitoring the main risks of an FX options’ book


Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

From the Inside Flap:

"The next generation FX Options book has arrived: Antonio Castagna has written up many years of his practical experience at the trading floor of Banca IMI. It is a valuable collection of key ideas concerning the FX smile surface and hedging of first generation exotics. I am very please Antonio took time to share his intuitive insights."
Uwe Wystup, Managing Director of MathFinance AG

"If you are really interested in hard science and technology of FX options market making, this is probably the best source from which to learn – most of the books content goes far beyond anything to be found in other monographs on the same subject. Strongly recommended."
Dariusz Gatarek, National Bank of Poland, Advisor to the Board

"Antonio Castagna formalizes the principles and concepts he has used during his trading activity on the FX market, an important asset class that occasionally does not receive the attention it deserves. Attention is given to a wide range of topics, ranging a wide spectrum between theory and practice, from market quoting conventions to volatility surfaces, change of measure techniques, dynamic arbitrage-free models, hedging and risk analysis. Among the several techniques presented to deal with volatility smile consistent pricing, I am glad room has been given to the mixture dynamics, one of the few tractable approaches where the Markovian projection is explicit and realized in the mixture diffusion and the uncertain volatility models, with striking results in the correlation between volatility and underlying in the projected diffusion version. Overall this is an interesting and eclectic book for readers interested in learning or expanding their knowledge of the FX volatility market."
Damiano Brigo, Managing Director, FitchSolutions, London

About the Author:

Antonio Castagna is currently partner and co-founder of the consulting company Iason ltd, providing support to financial institutions for the design of models to price complex derivatives and to measure a wide range of risks, including credit and liquidity. Antonio graduated in Finance from LUISS University, Rome, in 1995 with a thesis on American options and the numerical procedures for their valuation. He began his career in investment banking in IMI Bank, Luxemborug, as a financial analyst in the Risk Control Department before moving to Banca IMI, Milan, first as a market maker of cap/floors and swaptions, before setting up the FX options desk and running the book of plain vanilla and exotic options on the major currencies, whilst also being responsible for the entire FX volatility trading.
Antonio has written a number of papers on credit derivatives, managing of exotic options risks and volatility smiles. He is often invited to academic and post-graduate courses.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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Antonio Castagna
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 0470754192 ISBN 13: 9780470754191
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. Practical issues in FX options and smile risk FX Options and Smile Risk takes readers through the main technicalities of the FX spot and options markets, helping them develop practical trading skills that will enable them to run an FX options book in the real world. It describes how to build FX volatility surfaces in robust and consistent ways and how to use them in the pricing of vanilla and exotic options. It enables readers to effectively hedge exposures to volatility surface and other risks related to exotic options. It s highly focused on the practical aspects of the pricing and hedging of the typical risks of an FX options desk and deals with the momentous issues of building consistent volatility matrices and a unified approach to pricing and hedging. Antonio Castagna (Milan, Italy) is a Consultant at Iason Ltd, providing pricing and risk management expertise for complex products. He has extensive experience in FX and derivatives, and was previously Head of Volatility Trading at Banca IMI Milan, where he set up the bank s FX Option desk. Codice libro della libreria AAH9780470754191

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Antonio Castagna
Editore: John Wiley and Sons Ltd, United Kingdom (2010)
ISBN 10: 0470754192 ISBN 13: 9780470754191
Nuovi Rilegato Quantità: 10
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2010. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. Practical issues in FX options and smile risk FX Options and Smile Risk takes readers through the main technicalities of the FX spot and options markets, helping them develop practical trading skills that will enable them to run an FX options book in the real world. It describes how to build FX volatility surfaces in robust and consistent ways and how to use them in the pricing of vanilla and exotic options. It enables readers to effectively hedge exposures to volatility surface and other risks related to exotic options. It s highly focused on the practical aspects of the pricing and hedging of the typical risks of an FX options desk and deals with the momentous issues of building consistent volatility matrices and a unified approach to pricing and hedging. Antonio Castagna (Milan, Italy) is a Consultant at Iason Ltd, providing pricing and risk management expertise for complex products. He has extensive experience in FX and derivatives, and was previously Head of Volatility Trading at Banca IMI Milan, where he set up the bank s FX Option desk. Codice libro della libreria AAH9780470754191

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Antonio Castagna
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ISBN 10: 0470754192 ISBN 13: 9780470754191
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Descrizione libro John Wiley and Sons Ltd. Hardback. Condizione libro: new. BRAND NEW, FX Options and Smile Risk, Antonio Castagna, Practical issues in FX options and smile risk FX Options and Smile Risk takes readers through the main technicalities of the FX spot and options markets, helping them develop practical trading skills that will enable them to run an FX options book in the real world. It describes how to build FX volatility surfaces in robust and consistent ways and how to use them in the pricing of vanilla and exotic options. It enables readers to effectively hedge exposures to volatility surface and other risks related to exotic options. It's highly focused on the practical aspects of the pricing and hedging of the typical risks of an FX options desk and deals with the momentous issues of building consistent volatility matrices and a unified approach to pricing and hedging. Antonio Castagna (Milan, Italy) is a Consultant at Iason Ltd, providing pricing and risk management expertise for complex products. He has extensive experience in FX and derivatives, and was previously Head of Volatility Trading at Banca IMI Milan, where he set up the bank's FX Option desk. Codice libro della libreria B9780470754191

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Descrizione libro John Wiley and#38; Sons, 2009. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470754191

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Descrizione libro John Wiley and#38; Sons, 2009. HRD. Condizione libro: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Codice libro della libreria IP-9780470754191

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