FX options and smile risk / Antonio Castagna.

Format:

Book

Author/Creator:

Castagna, Antonio, author.

Series:

Wiley finance series.

Wiley Finance

Language:

English

Subjects (All):

Foreign exchange options.

Risk management.

Physical Description:

1 online resource (322 p.)

Edition:

1st edition

Other Title:

Foreign exchange options and smile risk

Place of Publication:

West Sussex, England : Wiley, 2010.

Language Note:

English

System Details:

text file

Summary:

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 th

Contents:

FX Options and Smile Risk; Contents; Preface; Notation and Acronyms; 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; References; Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9786612888878

9781119207085

1119207088

9780470684931

0470684933

9781282888876

1282888870

9780470687185

0470687185

OCLC:

695400189