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FX options and smile risk Antonio Castagna.

By: Castagna, Antonio.
Series: Wiley finance series: Hoboken, N.J. Wiley 2010Description: xv, 304 páginas ilustrado 25 cm. + Un Disco Compacto (CD-ROM).ISBN: 9780470754191.Subject(s): Foreign exchange options | Risk management | Opciones de divisas | Gestión del riesgo (finanzas)DDC classification: 332.45 Online resources: Publisher description | Contributor biographical information
Contents:
The FX Market -- Pricing Models for FX Options -- Dynamic Hedging and Volatility Trading -- The Volatility Surface -- Plain Vanilla Options -- Barrier Options -- Other Exotic Options -- Risk Management Tools and Analysis -- Correlation and FX Options.
Review: "This book is a unique guide to running an FX options book from a 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."--BOOK JACKET.
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
CD Texto (Eliminar) CD Texto (Eliminar) Biblioteca Central
Digital 332.45 / C346f (Browse shelf) Ej.2 Available 8000022277
Libros Libros Biblioteca Central
General 332.45 / C346f (Browse shelf) Ej. 1 Available 8000022276
Total holds: 0

Incluye índice

1. The FX Market -- 2. Pricing Models for FX Options -- 3. Dynamic Hedging and Volatility Trading -- 4. The Volatility Surface -- 5. Plain Vanilla Options -- 6. Barrier Options -- 7. Other Exotic Options -- 8. Risk Management Tools and Analysis -- 9. Correlation and FX Options.

"This book is a unique guide to running an FX options book from a 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."--BOOK JACKET.

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