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:
The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
"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
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
Spese di spedizione:
EUR 10,50
Da: Irlanda a: U.S.A.
Descrizione libro Condizione: New. 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. Series: Wiley Finance Series. Num Pages: 330 pages, black & white illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 249 x 175 x 26. Weight in Grams: 726. . 2009. hardcover. . . . . Codice articolo 9780470754191
Descrizione libro Condizione: New. Codice articolo 5396014-n
Descrizione libro Condizione: New. 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. Series: Wiley Finance Series. Num Pages: 330 pages, black & white illustrations. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 249 x 175 x 26. Weight in Grams: 726. . 2009. hardcover. . . . . Books ship from the US and Ireland. Codice articolo 9780470754191
Descrizione libro hardback. Condizione: New. Language: ENG. Codice articolo 9780470754191
Descrizione libro Condizione: new. Codice articolo d7c6a5d62e7312e02e70691f4b4391c9
Descrizione libro Condizione: New. Codice articolo 5396014-n
Descrizione libro Condizione: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Codice articolo ria9780470754191_lsuk
Descrizione libro HRD. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo FW-9780470754191
Descrizione libro Condizione: New. pp. 330. Codice articolo 26781122
Descrizione libro Hardcover. Condizione: Brand New. hardback/cd-rom edition. 304 pages. 10.00x7.00x1.00 inches. In Stock. This item is printed on demand. Codice articolo __0470754192