FX OPTIONS AND SMILE RISK CASTAGNA PDF

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You are currently using the site but have requested a page in the site. Would you like to change to the site? Antonio Castagna. 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. The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book. Request permission to reuse content from this site.

Undetected location. NO YES. FX Options and Smile Risk. Selected type: Hardcover. Added to Your Shopping Cart. View on Wiley Online Library. This is a dummy description. 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. 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 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. Permissions Request permission to reuse content from this site. Table of contents Preface. Notation and Acronyms. The Wiley Finance Series.

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FX Options and Smile Risk

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. The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book. FX Options and Smile Risk.

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Fx Options and Smile Risk

Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. 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. Save to Library.

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FX options and smile risk

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