FX Options and Smile Risk by Antonio Castagna

Skip to product information
1 of 1

FX Options and Smile Risk by Antonio Castagna

Regular price $88.79
Condition - New
2 In stock
Regular price $88.79
Condition - New
2 In stock

Free shipping in 12-14 business days on orders over $15

Summary

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.

The feel-good place to buy books
  • Free shipping in the US over $15
  • Supporting authors with AuthorSHARE
  • 100% recyclable packaging
  • Proud to be a B Corp – A Business for good
  • Sell-back with World of Books - Sell your Books

FX Options and Smile Risk by Antonio Castagna

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 The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
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.
SKU NGR9780470754191
ISBN 13 9780470754191
ISBN 10 0470754192
Title FX Options and Smile Risk
Author Antonio Castagna
Series The Wiley Finance Series
Condition New
Binding Type Hardback
Publisher John Wiley & Sons Inc
Year published 2009-12-04
Number of pages 320
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note This is a new book - be the first to read this copy. With untouched pages and a perfect binding, your brand new copy is ready to be opened for the first time