FX Options and Smile Risk

FX Options and Smile Risk
Author :
Publisher : John Wiley & Sons
Total Pages : 324
Release :
ISBN-10 : 9780470754191
ISBN-13 : 0470754192
Rating : 4/5 (192 Downloads)

Book Synopsis FX Options and Smile Risk by : Antonio Castagna

Download or read book FX Options and Smile Risk written by Antonio Castagna and published by John Wiley & Sons. This book was released on 2010-01-19 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


FX Options and Smile Risk Related Books

FX Options and Smile Risk
Language: en
Pages: 324
Authors: Antonio Castagna
Categories: Business & Economics
Type: BOOK - Published: 2010-01-19 - Publisher: John Wiley & Sons

GET EBOOK

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
FX Options and Smile Risk
Language: en
Pages: 324
Authors: Antonio Castagna
Categories: Business & Economics
Type: BOOK - Published: 2010-02-12 - Publisher: John Wiley & Sons

GET EBOOK

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
FX Options and Smile Risk
Language: en
Pages:
Authors: Antonio Castagna
Categories: Foreign exchange options
Type: BOOK - Published: 2010 - Publisher:

GET EBOOK

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
Foreign Exchange Option Pricing
Language: en
Pages: 308
Authors: Iain J. Clark
Categories: Business & Economics
Type: BOOK - Published: 2011-01-18 - Publisher: John Wiley & Sons

GET EBOOK

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedg
FX Options and Structured Products
Language: en
Pages: 649
Authors: Uwe Wystup
Categories: Business & Economics
Type: BOOK - Published: 2017-06-30 - Publisher: John Wiley & Sons

GET EBOOK

Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Str